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Is Germany's GDP Trend-Stationary? A Measurement-With-Theory Approach / Ist das deutsche BIP trendstationär: Ein Measurement-With-Theory Ansatz

Author

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  • Lücke Bernd

    (University of Hamburg, Von-Melle-Park 5, D-20146 Hamburg, Germany)

Abstract

The time series properties of German GDP have been re-examined in recent research. Extending the sample to include GDP data from 1950 onwards, some researchers argued in favor of a trend-stationary rather than difference stationary representation of real log GDP. I show that this conclusion is based on an atheoretic trend model underlying the unit root tests. A simple linear trend model fails to take the post World-War II catch-up process properly into account. I use the Solow growth model to discriminate between transitional catch-up dynamics and longrun equilibrium growth. With the proper transformation of GDP data, I am able to use standard unit root tests and find that both ADF and KPSS tests suggest a difference stationary model. This evidence is supported by non-standard unit root tests which allow for polynomial trend representations.

Suggested Citation

  • Lücke Bernd, 2005. "Is Germany's GDP Trend-Stationary? A Measurement-With-Theory Approach / Ist das deutsche BIP trendstationär: Ein Measurement-With-Theory Ansatz," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 225(1), pages 60-76, February.
    • Handle: RePEc:jns:jbstat:v:225:y:2005:i:1:p:60-76
    DOI: 10.1515/jbnst-2005-0105
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    References listed on IDEAS

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    Cited by:

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    3. Sayan, Serdar & Tekin-Koru, Ayca, 2007. "Remittances, Business Cycles and Poverty: The Recent Turkish Experience," MPRA Paper 6029, University Library of Munich, Germany.

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