An I(d) Statistical Model for the Canadian Real Output
Annual data of the Canadian real GDP (1871-1998) are examined in this article by means of statistical skills developed for testing I(d) statistical processes. The results show that when looking at the whole range of data, the unit root hypothesis is rejected in favor of more nonstationary alternatives. However, splitting the data during the Great Crash in 1929, the I(1) hypothesis cannot be rejected for the first subsample, being strongly rejected in favor of higher orders of integration for the period after 1929. Thus, the degree of dependence between the observations has substantially increased across the sample, implying the need of strong policy actions to bring GDP back to its original level.
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Volume (Year): III (2005)
Issue (Month): 1 (February)
Pages: 79 - 93
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