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A Bayesian Analysis of Total Factor Productivity Persistence

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Author Info
Tapas Mishra (Dept. of Economics and Econometrics, University of Wales, UK.)
Claude Diebolt
Mamata Parhi
Asit Ranjan Mohanty

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Abstract

This paper studies persistence properties of total factor productivity (TFP) from Bayesian perspective. Emphasizing that classical unit root test for TFP cannot determine the probability whether a stochastic shock to the series is permanent, we design a Bayesian unit root test for TFP. Examination for a set of African economies' TFP data show that the probability of having a unit root is very high for majority of countries. The evidence of high-persistence has implications for perpetual growth and business cycles.

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Publisher Info
Paper provided by Association Française de Cliométrie (AFC) in its series Working Papers with number 09-10.

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Length: 10
Date of creation: 2009
Date of revision:
Handle: RePEc:afc:wpaper:09-10

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Web page: http://www.cliometrie.org
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Related research
Keywords: Total factor productivity; Persistence; Bayesian unit root; Innovation; Business cycle fluctuations.;

Find related papers by JEL classification:
C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Bayesian Analysis
C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions
O47 - Economic Development, Technological Change, and Growth - - Economic Growth and Aggregate Productivity - - - Measurement of Economic Growth; Aggregate Productivity; Cross-Country Output Convergence
O55 - Economic Development, Technological Change, and Growth - - Economywide Country Studies - - - Africa

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This page was last updated on 2009-11-27.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.