Is economic growth a random walk?
AbstractThis paper tests the hypothesis that real per capita income growth rates are random walks against the hypothesis implied by models of endogenous growth that they are stationary. Thereby the influence of the choice of different test statistics as well as the choice of the H0 on the test results is analysed. As the results show, the overwhelming majority of countries rejects the random walk hypothesis in favour of the stationarity hypothesis, no matter what statistics and H0 is chosen. Additional tests show that growth rates of most countries significantly differ. Together with the stationarity result, this implies widespread and persistent divergence of real per capita incomes.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Kiel Institute for the World Economy in its series Kiel Working Papers with number 677.
Date of creation: 1995
Date of revision:
New growth theory; time series analysis; unit root test; autoregressive models; Baysian econometrics;
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- William Easterly & Michael Kremer & Lant Pritchett & Lawrence H. Summers, 1993.
"Good Policy or Good Luck? Country Growth Performance and Temporary Shocks,"
NBER Working Papers
4474, National Bureau of Economic Research, Inc.
- Easterly, William & Kremer, Michael & Pritchett, Lant & Summers, Lawrence H., 1993. "Good policy or good luck?: Country growth performance and temporary shocks," Journal of Monetary Economics, Elsevier, vol. 32(3), pages 459-483, December.
- Gundlach, Erich, 1995.
"The role of human capital in economic growth: new results and alternative interpretations,"
Kiel Working Papers
659 [rev.], Kiel Institute for the World Economy.
- Gundlach, Erich, 1995. "The role of human capital in economic growth: new results and alternative interpretations," Open Access Publications from Kiel Institute for the World Economy 30189, Kiel Institute for the World Economy (IfW).
- Gundlach, Erich, 1994. "The role of human capital in economic growth: new results and alternative interpretations," Kiel Working Papers 659, Kiel Institute for the World Economy.
- Schwert, G William, 2002.
"Tests for Unit Roots: A Monte Carlo Investigation,"
Journal of Business & Economic Statistics,
American Statistical Association, vol. 20(1), pages 5-17, January.
- Casey B. Mulligan & Xavier Sala-i-Martin, 1992.
"Transitional Dynamics in Two-Sector Models of Endogenous Growth,"
NBER Working Papers
3986, National Bureau of Economic Research, Inc.
- Mulligan, Casey B & Sala-i-Martin, Xavier, 1993. "Transitional Dynamics in Two-Sector Models of Endogenous Growth," The Quarterly Journal of Economics, MIT Press, vol. 108(3), pages 739-73, August.
- Mulligan, C.B. & Sala-i-Martin, X., 1992. "Transitional Dynamics in Two-Sector Models of Endogenous Growth," Papers 651, Yale - Economic Growth Center.
- Kahn, J.A. & Ogaki, M., 1990.
"A Chi-Square Test For Unit Root,"
RCER Working Papers
212, University of Rochester - Center for Economic Research (RCER).
- Syrquin, M. & Chenery, H.B., 1989. "Patterns Of Development, 1950 To 1983," World Bank - Discussion Papers 41, World Bank.
- Kahn, James A. & Ogaki, Masao, 1992.
"A consistent test for the null of stationarity against the alternative of a unit root,"
Elsevier, vol. 39(1), pages 7-11, May.
- Han, H.L. & Ogaki, M., 1991. "A Consistent Test for the Null of Stationarity Against the Alternative of Unit Root," RCER Working Papers 304, University of Rochester - Center for Economic Research (RCER).
- Romer, Paul M, 1986.
"Increasing Returns and Long-run Growth,"
Journal of Political Economy,
University of Chicago Press, vol. 94(5), pages 1002-37, October.
- Fry, Maxwell J, 1978. "Money and Capital or Financial Deepening in Economic Development?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 10(4), pages 464-75, November.
- Sargan, John Denis & Bhargava, Alok, 1983. "Testing Residuals from Least Squares Regression for Being Generated by the Gaussian Random Walk," Econometrica, Econometric Society, vol. 51(1), pages 153-74, January.
- Feldstein, Martin & Horioka, Charles, 1980.
"Domestic Saving and International Capital Flows,"
Royal Economic Society, vol. 90(358), pages 314-29, June.
- Handa, Jagdish & Ma, Barry K., 1989. "Four tests for the random walk hypothesis : Power versus robustness," Economics Letters, Elsevier, vol. 29(2), pages 141-145.
- Robert J. Barro, 1991.
"Economic Growth in a Cross Section of Countries,"
NBER Working Papers
3120, National Bureau of Economic Research, Inc.
- Feldstein, Martin S, 1970. "Inflation, Specification Bias, and the Impact of Interest Rates," Journal of Political Economy, University of Chicago Press, vol. 78(6), pages 1325-39, Nov.-Dec..
- Christopher A. Sims & Harald Uhlig, 1988.
"Understanding unit rooters: a helicopter tour,"
Discussion Paper / Institute for Empirical Macroeconomics
4, Federal Reserve Bank of Minneapolis.
- Summers, Robert & Heston, Alan, 1991. "The Penn World Table (Mark 5): An Expanded Set of International Comparisons, 1950-1988," The Quarterly Journal of Economics, MIT Press, vol. 106(2), pages 327-68, May.
- Krugman, Paul, 1981. "Trade, accumulation, and uneven development," Journal of Development Economics, Elsevier, vol. 8(2), pages 149-161, April.
- Fama, Eugene F., 1984. "Term premiums in bond returns," Journal of Financial Economics, Elsevier, vol. 13(4), pages 529-546, December.
- 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.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dieter Stribny).
If references are entirely missing, you can add them using this form.