IDEAS home Printed from
   My bibliography  Save this book chapter

Stochastic specification and the international GDP series

In: Econometrics, Statistics And Computational Approaches In Food And Health Sciences



    (Department of Economics, University of Houston, Houston, TX 77204-5019, USA)


AbstractThis paper investigates the stochastic properties of GDP series based on purchasing power comparisons for 125 countries from the Penn World Table (PWT) and a GDP series based on exchange rate conversions in 1987 constant dollars for 107 countries from the World Development Indicators (WDI) in the period 1965–90. Because many health and demographic variables are compiled at irregular intervals, models for economic growth are often estimated using data that are separated by 5-year intervals. Panel data on the GDP and growth rate series were analyzed using alternative econometric methodologies. First, the stochastic properties of the series were analyzed by applying classical tests for unit roots in a fixed effects framework. A new ratio was developed for the case where heterogeneous drift parameters are present under the null hypothesis. The 5% critical values of the most powerful invariant tests for unit roots are tabulated for different numbers of countries and time periods. Second, a dynamic random effects framework was used for testing the stochastic specification for the GDP and growth rate series. A sequence of Wald statistics was applied to test various structures for the variance covariance matrix of the GDP and growth rate series. Overall, the GDP series from PWT and WDI showed various forms of non-stationarity. Moreover, GDP growth rates at 5-year intervals possessed simple stochastic properties making them amenable to econometric modeling.

Suggested Citation

  • Alok Bhargava, 2006. "Stochastic specification and the international GDP series," World Scientific Book Chapters,in: Econometrics, Statistics And Computational Approaches In Food And Health Sciences, chapter 19, pages 255-268 World Scientific Publishing Co. Pte. Ltd..
  • Handle: RePEc:wsi:wschap:9789812773319_0019

    Download full text from publisher

    File URL:
    Download Restriction: Ebook Access is available upon purchase.

    File URL:
    Download Restriction: Ebook Access is available upon purchase.

    As the access to this document is restricted, you may want to look for a different version below or search for a different version of it.

    Other versions of this item:


    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.

    Cited by:

    1. Bhargava, Alok, 2008. "Globalization, Literacy Levels, and Economic Development," WIDER Working Paper Series 004, World Institute for Development Economic Research (UNU-WIDER).
    2. Heshmati, Almas, 2004. "Data Issues and Databases Used in Analysis of Growth, Poverty and Economic Inequality," IZA Discussion Papers 1263, Institute of Labor Economics (IZA).

    More about this item


    Econometrics; Nutrition; Health; Child Development; Psychology; Behavioral Nutrition; Demography; Anthropology; Economic Development; Agricultural Economics; Environmental Sciences; Epidemiology; Nonlinear Optimization;

    JEL classification:

    • C40 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - General
    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • Q18 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Agricultural Policy; Food Policy
    • Z18 - Other Special Topics - - Cultural Economics - - - Public Policy


    Access and download statistics


    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wsi:wschap:9789812773319_0019. 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: (Tai Tone Lim). General contact details of provider: .

    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.

    We have no references for this item. You can help adding them by using 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 RePEc Author Service 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.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.