Does Stationarity Characterize Real GDP Movements? Results from Non-Linear Unit Root Tests
AbstractUsing non-linear unit root tests this paper investigates non- stationarity of real GDP per capita for seven OECD countries over the period 1900-2000. Non-linear unit root tests are more powerful than traditional ADF statistics in rejecting the null unit root hypothesis. To this end we adopt a first order Fourier approximation that may capture many features of non-linear adjustment. Empirical results show that, contrary to what the linear ADF statistics suggest, stationarity characterizes six out of the seven countries. This finding stands at variance with other recent studies which conclude that movements in real GDP per capita can be characterized as a non-stationary process.
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Length: 8 pages
Date of creation: 02 Jun 2004
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Unit root tests; non-linear model; real GDP;
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
This paper has been announced in the following NEP Reports:
- NEP-ALL-2004-06-07 (All new papers)
- NEP-ECM-2004-06-10 (Econometrics)
- NEP-ETS-2004-06-07 (Econometric Time Series)
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