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A Bayesian Analysis of Total Factor Productivity Persistence

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  • Tapas Mishra

    (Dept. of Economics and Econometrics, University of Wales, UK.)

  • Claude Diebolt
  • Mamata Parhi
  • Asit Ranjan Mohanty

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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Bibliographic 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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Related research

Keywords: Total factor productivity; Persistence; Bayesian unit root; Innovation; Business cycle fluctuations.;

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