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Fluctuaciones ciclicas y raices unitarias en la economia espanola, 1850-1990

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  • Jordi Pons Novell
  • Andreu Sanso

    (Universitat de Barcelona)

Abstract

This paper analyses the role of shocks in Spanish economic growth over the period 1850-1990. In the existence of a unit root, the trend is stochastic, which implies that the series has a long memory, and shocks have persistent effects. As a result, the series does not return to its former path following a random disturbance, and the level of the series shifts permanently. On the other hand, if the series does not contain a unit root, the trend is deterministic and the series has a short memory. In this case a shock has no permanent impact and the series returns to its steady trend after the shock. Estimation results provide evidence that the log of real GDP has a unit root, but the existence of a unit root on real per capita GDP is uncertain.

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Bibliographic Info

Paper provided by Universitat de Barcelona. Espai de Recerca en Economia in its series Working Papers in Economics with number 2.

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Length: 0 pages
Date of creation: 1996
Date of revision:
Handle: RePEc:bar:bedcje:19962

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Postal: Espai de Recerca en Economia, Facultat de Ciències Econòmiques. Tinent Coronel Valenzuela, Num 1-11 08034 Barcelona. Spain.
Web page: http://www.ere.ub.es
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  1. Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-72, June.
  2. Lucrezia Reichlin & Peter Rappoport, 1989. "Segmented trends and non-stationary time series," ULB Institutional Repository 2013/10169, ULB -- Universite Libre de Bruxelles.
  3. Banerjee, Anindya & Lumsdaine, Robin L & Stock, James H, 1992. "Recursive and Sequential Tests of the Unit-Root and Trend-Break Hypotheses: Theory and International Evidence," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(3), pages 271-87, July.
  4. Perron, Pierre, 1989. "The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis," Econometrica, Econometric Society, vol. 57(6), pages 1361-1401, November.
  5. G. William Schwert, 1988. "Tests For Unit Roots: A Monte Carlo Investigation," NBER Technical Working Papers 0073, National Bureau of Economic Research, Inc.
  6. Rudebusch, Glenn D, 1993. "The Uncertain Unit Root in Real GNP," American Economic Review, American Economic Association, vol. 83(1), pages 264-72, March.
  7. Wynne, Mark, 1992. "Does aggregate output have a unit root?," Economics Letters, Elsevier, vol. 39(2), pages 179-182, June.
  8. James G. MacKinnon, 1990. "Critical Values for Cointegration Tests," Working Papers 1227, Queen's University, Department of Economics.
  9. Nelson, Charles R. & Plosser, Charles I., 1982. "Trends and random walks in macroeconmic time series : Some evidence and implications," Journal of Monetary Economics, Elsevier, vol. 10(2), pages 139-162.
  10. Walton, David R., 1988. "Does GNP have a unit root? : Evidence for the UK," Economics Letters, Elsevier, vol. 26(3), pages 219-224.
  11. Perron, Pierre, 1988. "Trends and random walks in macroeconomic time series : Further evidence from a new approach," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 297-332.
  12. DeJong, David N, et al, 1992. "Integration versus Trend Stationarity in Time Series," Econometrica, Econometric Society, vol. 60(2), pages 423-33, March.
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