Is real GDP stationary? Evidence from a panel unit root test with cross-sectional dependence and historical data
AbstractWe use historical data that cover more than one century on real GDP for industrial countries and employ the Pesaran panel unit root test that allows for cross-sectional dependence to test for a unit root on real GDP. We find strong evidence against the unit root null. Our results are robust to the chosen group of countries and the sample period. Key words: real GDP stationarity, cross-sectional dependence, CIPS test. JEL Classification: C23, E32
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Bibliographic InfoPaper provided by Universitat Rovira i Virgili, Department of Economics in its series Working Papers with number 2072/181404.
Date of creation: 2012
Date of revision:
Producte Interior Brut; 33 - Economia;
Find related papers by JEL classification:
- C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Longitudinal Data; Spatial Time Series
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
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