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Is Per Capita Real GDP Stationary in the OECD Countries? Evidence from a Panel Unit Root Test

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  • Ozturk, Ilhan
  • Kalyoncu, Huseyin

Abstract

This paper examines the stationarity of real GDP per capita for 27 OECD countries during the period 1950 to 2004. Using ADF unit root test on single time series, it is found that real GDP per capita series of most OECD countries have unit root. This outcome, however, might be due to the generally low power of this test. The aim of this paper is to reconsider this issue by exploiting the extra information provided by the combination of the time-series and cross-sectional data and the subsequent power advantages of panel data unit root tests. We apply the test advocated by Im, Pesaran and Shin (1997). The results overwhelmingly indicate that real GDP per capita series among OECD countries are nonstationary.

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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 9635.

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Date of creation: 2007
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Handle: RePEc:pra:mprapa:9635

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Keywords: Real GDP per capita; Stationary; Panel Unit root tests; OECD;

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  1. Cogley, T., 1989. "International Evidence On The Size Of The Random Walk In Output," Working Papers, University of Washington, Department of Economics 89-02, University of Washington, Department of Economics.
  2. Bruce E. Hansen & Mehmet Caner, 1997. "Threshold Autoregressions with a Unit Root," Boston College Working Papers in Economics, Boston College Department of Economics 381, Boston College Department of Economics.
  3. Smyth, Russell & Inder, Brett, 2004. "Is Chinese provincial real GDP per capita nonstationary?: Evidence from multiple trend break unit root tests," China Economic Review, Elsevier, Elsevier, vol. 15(1), pages 1-24.
  4. Cheung, Yin-Wong & Chinn, Menzie David, 1996. "Deterministic, Stochastic, and Segmented Trends in Aggregate Output: A Cross-Country Analysis," Oxford Economic Papers, Oxford University Press, vol. 48(1), pages 134-62, January.
  5. Ben-David, D. & Papell, D.H., 1995. "The Great War, The Great Crash and Steady State Growth: Some New Evidence an Old Stylized Fact," Papers, Tel Aviv - the Sackler Institute of Economic Studies 36-95, Tel Aviv - the Sackler Institute of Economic Studies.
  6. Anindya Banerjee & Massimiliano Marcellino & Chiara Osbat, . "Testing for PPP: Should We Use Panel Methods?," Working Papers 186, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  7. Im, Kyung So & Pesaran, M. Hashem & Shin, Yongcheol, 2003. "Testing for unit roots in heterogeneous panels," Journal of Econometrics, Elsevier, Elsevier, vol. 115(1), pages 53-74, July.
  8. Fleissig, Adrian R. & Strauss, Jack, 1999. "Is OECD real per capita GDP trend or difference stationary? Evidence from panel unit root tests," Journal of Macroeconomics, Elsevier, Elsevier, vol. 21(4), pages 673-689.
  9. Kapetanios, George & Shin, Yongcheol & Snell, Andy, 2003. "Testing for a unit root in the nonlinear STAR framework," Journal of Econometrics, Elsevier, Elsevier, vol. 112(2), pages 359-379, February.
  10. n/a, 2001. "Balance of payments prospects in EMU," NIESR Discussion Papers, National Institute of Economic and Social Research 164, National Institute of Economic and Social Research.
  11. Kormendi, Roger C & Meguire, Philip, 1990. "A Multicountry Characterization of the Nonstationarity of Aggregate Output," Journal of Money, Credit and Banking, Blackwell Publishing, Blackwell Publishing, vol. 22(1), pages 77-93, February.
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  13. David E. Rapach, 2002. "Are Real GDP Levels Nonstationary? Evidence from Panel Data Tests," Southern Economic Journal, Southern Economic Association, vol. 68(3), pages 473-495, January.
  14. Nelson, Charles R. & Plosser, Charles I., 1982. "Trends and random walks in macroeconmic time series : Some evidence and implications," Journal of Monetary Economics, Elsevier, Elsevier, vol. 10(2), pages 139-162.
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Cited by:
  1. Hwa-Taek Lee & Gawon Yoon, 2013. "Does purchasing power parity hold sometimes? Regime switching in real exchange rates," Applied Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 45(16), pages 2279-2294, June.
  2. Tsangyao Chang & Gengnan Chiang & Yichun Zhang, 2009. "Is volume index of gdp per capita stationary in oecd countries? panel stationary tests with structural breaks," Economics Bulletin, AccessEcon, vol. 29(2), pages 588-598.
  3. Pandey, Alok Kumar & Dixit, Annapurna, 2011. "Inequality, Decomposition of Inequality and Stationarity of State Domestic Product: An Empirical Evidence from Twenty Indian States," MPRA Paper 54237, University Library of Munich, Germany.

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