The Unit Root Hypothesis in Long-term Output: Evidence from Two Structural Breaks for 16 Countries
AbstractRecent literature has documented the sensitivity of unit root tests to failure to account for structural change. This paper reconsiders international evidence on the unit root hypothesis while allowing for two structural breaks. We find evidence of two breaks in three-quarters of the data, rejecting the unit root hypothesis in 50% more cases than models that allow for only one structural break. Most of the trend breaks are associated with a change in output levels. As the neo-classical growth model predicts, the magnitude of these level changes is shown here to be related to changes in growth rates during the period following the break.
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Bibliographic InfoPaper provided by C.E.P.R. Discussion Papers in its series CEPR Discussion Papers with number 1336.
Date of creation: Feb 1996
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Find related papers by JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- O1 - Economic Development, Technological Change, and Growth - - Economic Development
- O47 - Economic Development, Technological Change, and Growth - - Economic Growth and Aggregate Productivity - - - Measurement of Economic Growth; Aggregate Productivity; Cross-Country Output Convergence
- O5 - Economic Development, Technological Change, and Growth - - Economywide Country Studies
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- Hossain, Mohammad & Tisdell, Clement A., 2003. "Fertility and Female Work Force Participation in Bangladesh: Causality and Cointegration," Social Economics, Policy and Development Working Papers 106947, University of Queensland, School of Economics.
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- Pedersen, Torben Mark & Elmer, Anne Marie, 2003. "International evidence on the connection between business cycles and economic growth," Journal of Macroeconomics, Elsevier, vol. 25(2), pages 255-275, June.
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