Advanced Search
MyIDEAS: Login to save this paper or follow this series

Is economic growth a random walk?

Contents:

Author Info

  • Maurer, Rainer
Registered author(s):

    Abstract

    This 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 Info

    If 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.
    File URL: http://econstor.eu/bitstream/10419/52669/1/673098753.pdf
    Download Restriction: no

    Bibliographic Info

    Paper provided by Kiel Institute for the World Economy in its series Kiel Working Papers with number 677.

    as in new window
    Length:
    Date of creation: 1995
    Date of revision:
    Handle: RePEc:kie:kieliw:677

    Contact details of provider:
    Postal: Kiellinie 66, D-24105 Kiel
    Phone: +49 431 8814-1
    Fax: +49 431 85853
    Email:
    Web page: http://www.ifw-kiel.de
    More information through EDIRC

    Related research

    Keywords: New growth theory; time series analysis; unit root test; autoregressive models; Baysian econometrics;

    References

    References listed on IDEAS
    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.:
    as in new window
    1. 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, Kiel Institute for the World Economy (IfW) 30189, Kiel Institute for the World Economy (IfW).
    2. 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, Elsevier, vol. 32(3), pages 459-483, December.
    3. Fama, Eugene F., 1984. "Term premiums in bond returns," Journal of Financial Economics, Elsevier, Elsevier, vol. 13(4), pages 529-546, December.
    4. Robert J. Barro, 1989. "Economic Growth in a Cross Section of Countries," NBER Working Papers 3120, National Bureau of Economic Research, Inc.
    5. 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.
    6. 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, MIT Press, vol. 106(2), pages 327-68, May.
    7. Syrquin, M. & Chenery, H.B., 1989. "Patterns Of Development, 1950 To 1983," World Bank - Discussion Papers, World Bank 41, World Bank.
    8. 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).
    9. Feldstein, Martin & Horioka, Charles, 1980. "Domestic Saving and International Capital Flows," Economic Journal, Royal Economic Society, Royal Economic Society, vol. 90(358), pages 314-29, June.
    10. Krugman, Paul, 1981. "Trade, accumulation, and uneven development," Journal of Development Economics, Elsevier, Elsevier, vol. 8(2), pages 149-161, April.
    11. Schwert, G William, 1989. "Tests for Unit Roots: A Monte Carlo Investigation," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 7(2), pages 147-59, April.
    12. Paul M Romer, 1999. "Increasing Returns and Long-Run Growth," Levine's Working Paper Archive 2232, David K. Levine.
    13. Handa, Jagdish & Ma, Barry K., 1989. "Four tests for the random walk hypothesis : Power versus robustness," Economics Letters, Elsevier, Elsevier, vol. 29(2), pages 141-145.
    14. Kahn, James A. & Ogaki, Masao, 1992. "A consistent test for the null of stationarity against the alternative of a unit root," Economics Letters, Elsevier, Elsevier, vol. 39(1), pages 7-11, May.
    15. Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, Econometric Society, vol. 49(4), pages 1057-72, June.
    16. John Y. Campbell & N. Gregory Mankiw, 1989. "Consumption, Income and Interest Rates: Reinterpreting the Time Series Evidence," NBER Chapters, National Bureau of Economic Research, Inc, in: NBER Macroeconomics Annual 1989, Volume 4, pages 185-246 National Bureau of Economic Research, Inc.
    17. Feldstein, Martin S, 1970. "Inflation, Specification Bias, and the Impact of Interest Rates," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 78(6), pages 1325-39, Nov.-Dec..
    18. Fry, Maxwell J, 1978. "Money and Capital or Financial Deepening in Economic Development?," Journal of Money, Credit and Banking, Blackwell Publishing, Blackwell Publishing, vol. 10(4), pages 464-75, November.
    19. Christopher A. Sims & Harald Uhlig, 1988. "Understanding unit rooters: a helicopter tour," Discussion Paper / Institute for Empirical Macroeconomics, Federal Reserve Bank of Minneapolis 4, Federal Reserve Bank of Minneapolis.
    20. Sargan, John Denis & Bhargava, Alok, 1983. "Testing Residuals from Least Squares Regression for Being Generated by the Gaussian Random Walk," Econometrica, Econometric Society, Econometric Society, vol. 51(1), pages 153-74, January.
    Full references (including those not matched with items on IDEAS)

    Citations

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:kie:kieliw:677. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dieter Stribny).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.