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A Note on Shock Persistence in Total Factor Productivity Growth

Author

Listed:
  • Tapas Mishra

    () (Department of Economics, Swansea University, UK)

  • Bazoumana Ouattara

    () (Department of Economics, Swansea University, UK)

  • Mamata Parhi

    () (WISERD and Department of Economics, Swansea University, UK)

Abstract

We study implications of persistence of shocks in total factor productivity (TFP) growth under Bayesian framework for a set of African countries over the period 1970-2003. Contrary to convention, we find that stochastic unit root is present for most of the African countries and that there is time-varying dependence structure in the underlying processes. The implication of our finding is that the persistence process governing TFP series is non-linear, stationary for some period and (mildly) explosive for others pointing to the fact that linear policy rules to counteract stochastic shocks in TFP may not prove useful. The repeat of TFP cycles is traced to this behaviour.

Suggested Citation

  • Tapas Mishra & Bazoumana Ouattara & Mamata Parhi, 2011. "A Note on Shock Persistence in Total Factor Productivity Growth," Economics Bulletin, AccessEcon, vol. 31(2), pages 1869-1893.
  • Handle: RePEc:ebl:ecbull:eb-10-00752
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    File URL: http://www.accessecon.com/Pubs/EB/2011/Volume31/EB-11-V31-I2-P169.pdf
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    References listed on IDEAS

    as
    1. Ralf Martin, 2005. "Productivity Dispersion, Competition and Productivity Measurement," CEP Discussion Papers dp0692, Centre for Economic Performance, LSE.
    2. Córdoba, Juan Carlos & Ripoll, Marla, 2008. "Endogenous TFP and cross-country income differences," Journal of Monetary Economics, Elsevier, vol. 55(6), pages 1158-1170, September.
    3. Granger, C. W. J., 1980. "Long memory relationships and the aggregation of dynamic models," Journal of Econometrics, Elsevier, vol. 14(2), pages 227-238, October.
    4. Xavier Sala-I-Martin & Gernot Doppelhofer & Ronald I. Miller, 2004. "Determinants of Long-Term Growth: A Bayesian Averaging of Classical Estimates (BACE) Approach," American Economic Review, American Economic Association, vol. 94(4), pages 813-835, September.
    5. Luis Gil-Alana & Pedro Mendi, 2005. "Fractional integration in total factor productivity: evidence from US data," Applied Economics, Taylor & Francis Journals, vol. 37(12), pages 1369-1383.
    6. Davidson, James & Sibbertsen, Philipp, 2009. "Tests of bias in log-periodogram regression," Economics Letters, Elsevier, vol. 102(2), pages 83-86, February.
    7. Schotman, Peter & van Dijk, Herman K., 1991. "A Bayesian analysis of the unit root in real exchange rates," Journal of Econometrics, Elsevier, vol. 49(1-2), pages 195-238.
    8. Jesus Crespo Cuaresma & Tapas Mishra, 2011. "Human capital, age structure and growth fluctuations," Applied Economics, Taylor & Francis Journals, vol. 43(28), pages 4311-4329.
    9. Bauwens, Luc & Lubrano, Michel & Richard, Jean-Francois, 2000. "Bayesian Inference in Dynamic Econometric Models," OUP Catalogue, Oxford University Press, number 9780198773139.
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    More about this item

    Keywords

    Total factor productivity persistence; stochastic unit root; time varying dependence; Bayesian mechanism; Africa;

    JEL classification:

    • O4 - Economic Development, Innovation, Technological Change, and Growth - - Economic Growth and Aggregate Productivity
    • C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics

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