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Further Evidence on the Statistical Properties of Real GNP

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  • Laura Mayoral

Abstract

The well-known lack of power of unit-root tests has often been attributed to the short length of macroeconomic variables and also to data-generating processes (DGPs) departing from the "I"(1)-"I"(0) models. This paper shows that by using long spans of annual real gross national product (GNP) and GNP per capita (133 years), high power can be achieved, leading to the rejection of both the unit-root and the trend-stationary hypothesis. More flexible representations are then considered, namely, processes containing structural breaks (SB) and fractional orders of integration (FI). Economic justification for the presence of these features in GNP is provided. It is shown that both FI and SB formulations are in general preferred to the autoregressive integrated moving average (ARIMA) ["I"(1) or "I"(0)] formulations. As a novelty in this literature, new techniques are applied to discriminate between FI and SB. It turns out that the FI specification is preferred, implying that GNP and GNP per capita are non-stationary, highly persistent but mean-reverting series. Finally, it is shown that the results are robust when breaks in the deterministic component are allowed for in the FI model. Some macroeconomic implications of these findings are also discussed. Copyright 2006 Blackwell Publishing Ltd.

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  • Laura Mayoral, 2006. "Further Evidence on the Statistical Properties of Real GNP," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 68(s1), pages 901-920, December.
  • Handle: RePEc:bla:obuest:v:68:y:2006:i:s1:p:901-920
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    Cited by:

    1. Luis A. Gil-Alana & Antonio Moreno & Seonghoon Cho, 2012. "The Deaton paradox in a long memory context with structural breaks," Applied Economics, Taylor & Francis Journals, vol. 44(25), pages 3309-3322, September.
    2. Gilles Dufrénot & Valérie Mignon & Théo Naccache, 2012. "Testing Catching-Up Between The Developing Countries: “Growth Resistance” And Sometimes “Growth Tragedy”," Bulletin of Economic Research, Wiley Blackwell, vol. 64(4), pages 470-508, October.
    3. Laura Mayoral, 2006. "Further Evidence on the Statistical Properties of Real GNP," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 68(s1), pages 901-920, December.
    4. Guglielmo Caporale & Luis Gil-Alana, 2013. "Long memory in US real output per capita," Empirical Economics, Springer, vol. 44(2), pages 591-611, April.
    5. Gil-Alana, Luis A. & Gupta, Rangan, 2014. "Persistence and cycles in historical oil price data," Energy Economics, Elsevier, vol. 45(C), pages 511-516.
    6. Marco Barassi & Matthew Cole & Robert Elliott, 2011. "The Stochastic Convergence of CO 2 Emissions: A Long Memory Approach," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 49(3), pages 367-385, July.
    7. Luis Alberiko Gil-Alaña & Borja Balprad & Guglielmo Maria Caporale, 2015. "African Growth, Non-Linearities and Strong Dependence: An Empirical Study," NCID Working Papers 12/2015, Navarra Center for International Development, University of Navarra.
    8. Ivan Kitov, 2012. "Why price inflation in developed countries is systematically underestimated," Papers 1206.0450, arXiv.org.
    9. Guglielmo Maria Caporale & Marinko Skare, 2014. "Long Memory in UK Real GDP, 1851-2013: An ARFIMA-FIGARCH Analysis," Discussion Papers of DIW Berlin 1395, DIW Berlin, German Institute for Economic Research.
    10. Gilles Dufrénot & Valérie Mignon & Théo Naccache, "undated". "The slow convergence of per capita income between the developing countries: “growth resistance” and sometimes “growth tragedy”," Discussion Papers 09/03, University of Nottingham, CREDIT.
    11. Portilla, Yolanda, 2009. "Career concerns and investment maturity in mutual funds," UC3M Working papers. Economics we091106, Universidad Carlos III de Madrid. Departamento de Economía.
    12. Gianluca, MORETTI & Giulio, NICOLETTI, 2008. "Estimating DGSE models with long memory dynamics," Discussion Papers (ECON - Département des Sciences Economiques) 2008037, Université catholique de Louvain, Département des Sciences Economiques.
    13. repec:eee:rensus:v:75:y:2017:i:c:p:86-97 is not listed on IDEAS

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    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • E23 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Production
    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General

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