Are real GDP levels nonstationary across Central and Eastern European countries?
This study applies the Sequential Panel Selection Method (SPSM) proposed by Chortareas and Kapetanios (2009) to investigate and assess the non-stationary properties of whether real GDP follows a trend stationary or a difference stationary process for Central Eastern European (CEE) countries. SPSM can classify the whole panel into a group of stationary series and a group of non-stationary series. We clearly identify how many and which series in the panel are stationary processes and provide robust evidence clearly indicating that per capita real GDP for CEE countries holds stationary for three countries. Our findings point out their per capita real GDP convergence is a mean reversion towards equilibrium values in a non-linear way. Our results have important policy implications for macroeconomic policy, modeling, testing and forecasting for these CEE countries under study.
Volume (Year): 13 (2013)
Issue (Month): 1 (July)
|Contact details of provider:|| Postal: Strelnieku iela 4a, Riga, LV-1010|
Phone: +371 67039320
Fax: +371 67039318
Web page: http://www.biceps.org
More information through EDIRC
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.:
- Georgios Chortareas & George Kapetanios, 2004.
"Getting PPP Right: Identifying Mean-Reverting Real Exchange Rates in Panels,"
517, Queen Mary University of London, School of Economics and Finance.
- Chortareas, Georgios & Kapetanios, George, 2009. "Getting PPP right: Identifying mean-reverting real exchange rates in panels," Journal of Banking & Finance, Elsevier, vol. 33(2), pages 390-404, February.
- Georgios Chortareas & George Kapetanios, 2004. "Getting PPP Right: Identifying Mean Reverting Real Exchange Rates in Panels," Money Macro and Finance (MMF) Research Group Conference 2004 32, Money Macro and Finance Research Group.
- Georgios Chortareas & George Kapetanios, 2008. "Getting PPP Right: Identifying Mean-Reverting Real Exchange Rates in Panels," Working Papers 629, Queen Mary University of London, School of Economics and Finance.
- 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.
- Juan Carlos Cuestas & Dean Garratt, 2008.
"Is real GDP per capita a stationary process? Smooth transitions, nonlinear trends and unit root testing,"
2008/12, Nottingham Trent University, Nottingham Business School, Economics Division.
- Juan Cuestas & Dean Garratt, 2011. "Is real GDP per capita a stationary process? Smooth transitions, nonlinear trends and unit root testing," Empirical Economics, Springer, vol. 41(3), pages 555-563, December.
- Im, Kyung So & Pesaran, M. Hashem & Shin, Yongcheol, 2003.
"Testing for unit roots in heterogeneous panels,"
Journal of Econometrics,
Elsevier, vol. 115(1), pages 53-74, July.
- Pasaran, M.H. & Im, K.S. & Shin, Y., 1995. "Testing for Unit Roots in Heterogeneous Panels," Cambridge Working Papers in Economics 9526, Faculty of Economics, University of Cambridge.
- Tom Doan, . "IPSHIN: RATS procedure to implement Im, Pesaran and Shin panel unit root test," Statistical Software Components RTS00098, Boston College Department of Economics.
- Perron, P., 1994.
"Further Evidence on Breaking Trend Functions in Macroeconomic Variables,"
Cahiers de recherche
9421, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Perron, Pierre, 1997. "Further evidence on breaking trend functions in macroeconomic variables," Journal of Econometrics, Elsevier, vol. 80(2), pages 355-385, October.
- Perron, P., 1994. "Further Evidence on Breaking Trend Functions in Macroeconomic Variables," Cahiers de recherche 9421, Universite de Montreal, Departement de sciences economiques.
- Perron, P., 1990. "Further Evidence On Breaking Trend Functions In Macroeconomics Variables," Papers 350, Princeton, Department of Economics - Econometric Research Program.
- Yin-Wong Cheung & Frank Westermann, 2002.
"Output dynamics of the G7 countries--stochastic trends and cyclical movements,"
Taylor & Francis Journals, vol. 34(18), pages 2239-2247.
- Yin-Wong Cheung & Frank Westermann, 1999. "Output Dynamics of the G7 Countries - Stochastic Trends and Cyclical Movements," CESifo Working Paper Series 220, CESifo Group Munich.
- Levin, Andrew & Lin, Chien-Fu & James Chu, Chia-Shang, 2002.
"Unit root tests in panel data: asymptotic and finite-sample properties,"
Journal of Econometrics,
Elsevier, vol. 108(1), pages 1-24, May.
- Tom Doan, . "LEVINLIN: RATS procedure to perform Levin-Lin-Chu test for unit roots in panel data," Statistical Software Components RTS00242, Boston College Department of Economics.
- Nelson, Charles R. & Plosser, Charles I., 1982. "Trends and random walks in macroeconmic time series : Some evidence and implications," Journal of Monetary Economics, Elsevier, vol. 10(2), pages 139-162.
- Pascalau, Razvan, 2008.
"Unit Roots Tests with Smooth Breaks: An Application to the Nelson-Plosser Data Set,"
7220, University Library of Munich, Germany.
- Razvan Pascalau, 2010. "Unit root tests with smooth breaks: an application to the Nelson-Plosser data set," Applied Economics Letters, Taylor & Francis Journals, vol. 17(6), pages 565-570.
- Walter Enders & Junsoo Lee, 2012. "A Unit Root Test Using a Fourier Series to Approximate Smooth Breaks," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 74(4), pages 574-599, 08.
- Alan M. Taylor & Mark P. Taylor, 2004.
"The Purchasing Power Parity Debate,"
NBER Working Papers
10607, National Bureau of Economic Research, Inc.
- Yin-Wong Cheung & Menzie Chinn, 1995.
"Deterministic, stochastic and segmented trends in aggregate output: A cross-country analysis,"
- 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.
- Kapetanios, George & Shin, Yongcheol & Snell, Andy, 2003. "Testing for a unit root in the nonlinear STAR framework," Journal of Econometrics, Elsevier, vol. 112(2), pages 359-379, February.
- Vougas, Dimitrios V., 2007. "Is the trend in post-WW II US real GDP uncertain or non-linear?," Economics Letters, Elsevier, vol. 94(3), pages 348-355, March.
- Ucar, Nuri & Omay, Tolga, 2009. "Testing for unit root in nonlinear heterogeneous panels," Economics Letters, Elsevier, vol. 104(1), pages 5-8, July.
- Tsangyao Chang & Ching-Chun Wei & Chien-Chung Nieh, 2005. "Is Per Capita Real GDP Stationary? Evidence from Selected African Countries Based on More Powerful Nonlinear (Logistic) Unit Root Tests," Economics Bulletin, AccessEcon, vol. 3(24), pages 1-9.
- Dimitris K. Christopoulos & Miguel A. León-Ledesma, 2010. "Revisiting The Real Wages-Unemployment Relationship. New Results From Non-Linear Models," Bulletin of Economic Research, Wiley Blackwell, vol. 62(1), pages 79-96, 01.
- repec:ebl:ecbull:v:3:y:2005:i:24:p:1-9 is not listed on IDEAS
- Ralf Becker & Walter Enders & Junsoo Lee, 2006. "A Stationarity Test in the Presence of an Unknown Number of Smooth Breaks," Journal of Time Series Analysis, Wiley Blackwell, vol. 27(3), pages 381-409, 05.
When requesting a correction, please mention this item's handle: RePEc:bic:journl:v:13:y:2013:i:1:p:99-108. 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: (Lelde Jakobsone)
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.