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Are Real GDP Levels Trend, Difference, or Regime-Wise Trend Stationary? Evidence from Panel Data Tets Incorporating Structural Change

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  • Natalie Hegwood

    ()
    (Department of Economics and International Business, Sam Houston State University)

  • David H. Papell

    ()
    (Department of Economics, University of Houston)

Abstract

The unit root hypothesis for international real GDP and real GDP per capita has been the subject of extensive investigation. Using panel methods that incorporate structural change, we reject the unit root null in favor of the alternative of trend stationarity, with one or two changes in the slope for two panels with postwar data and one or two changes in both the slope and the intercept for a panel with long-horizon data. We conclude that real GDP levels are better characterized as regime-wise trend stationary than as either trend stationary without structural change or difference stationary with unit roots.

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Bibliographic Info

Article provided by Southern Economic Association in its journal Southern Economic Journal.

Volume (Year): 74 (2007)
Issue (Month): 1 (July)
Pages: 104-113

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Handle: RePEc:sej:ancoec:v:74:1:y:2007:p:104-113

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Web page: http://www.southerneconomic.org/
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Cited by:
  1. Nektarios Aslanidis & Stilianos Fountas, 2012. "Is real GDP stationary? Evidence from a panel unit root test with cross-sectional dependence and historical data," Discussion Paper Series 2012_09, Department of Economics, University of Macedonia, revised Oct 2012.
  2. Lopez, C. & Papell, David H., 2011. "Convergence of Euro Area Inflation Rates," Working papers 326, Banque de France.

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