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A Bayesian Analysis of Total Factor Productivity Persistence

  • Tapas Mishra

    (Dept. of Economics and Econometrics, University of Wales, UK.)

  • Claude Diebolt
  • Mamata Parhi
  • Asit Ranjan Mohanty

This paper studies persistence properties of total factor productivity (TFP) from Bayesian perspective. Emphasizing that classical unit root test for TFP cannot determine the probability whether a stochastic shock to the series is permanent, we design a Bayesian unit root test for TFP. Examination for a set of African economies' TFP data show that the probability of having a unit root is very high for majority of countries. The evidence of high-persistence has implications for perpetual growth and business cycles.

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Paper provided by Association Française de Cliométrie (AFC) in its series Working Papers with number 09-10.

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Length: 10
Date of creation: 2009
Date of revision:
Handle: RePEc:afc:wpaper:09-10
Contact details of provider: Web page: http://www.cliometrie.org

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  1. Sims, Christopher A., 1988. "Bayesian skepticism on unit root econometrics," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 463-474.
  2. Koop, G, 1992. "Aggregate Shocks and Macroeconomic Fluctuations: A Bayesian Approach," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 7(4), pages 395-411, Oct.-Dec..
  3. Sims, Christopher A & Uhlig, Harald, 1991. "Understanding Unit Rooters: A Helicopter Tour," Econometrica, Econometric Society, vol. 59(6), pages 1591-99, November.
  4. Steven N. Durlauf, 1989. "Output Persistence, Economic Structure, and the Choice of Stabilization Policy," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 20(2), pages 69-136.
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