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Fluctuaciones ciclicas y raices unitarias en la economia espanola, 1850-1990

  • Jordi Pons Novell
  • Andreu Sanso

    (Universitat de Barcelona)

This paper analyses the role of shocks in Spanish economic growth over the period 1850-1990. In the existence of a unit root, the trend is stochastic, which implies that the series has a long memory, and shocks have persistent effects. As a result, the series does not return to its former path following a random disturbance, and the level of the series shifts permanently. On the other hand, if the series does not contain a unit root, the trend is deterministic and the series has a short memory. In this case a shock has no permanent impact and the series returns to its steady trend after the shock. Estimation results provide evidence that the log of real GDP has a unit root, but the existence of a unit root on real per capita GDP is uncertain.

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Paper provided by Universitat de Barcelona. Espai de Recerca en Economia in its series Working Papers in Economics with number 2.

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Length: 0 pages
Date of creation: 1996
Date of revision:
Handle: RePEc:bar:bedcje:19962
Contact details of provider: Postal: Espai de Recerca en Economia, Facultat de Ciències Econòmiques. Tinent Coronel Valenzuela, Num 1-11 08034 Barcelona. Spain.
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  1. Rudebusch, Glenn D, 1993. "The Uncertain Unit Root in Real GNP," American Economic Review, American Economic Association, vol. 83(1), pages 264-72, March.
  2. James G. MacKinnon, 2010. "Critical Values for Cointegration Tests," Working Papers 1227, Queen's University, Department of Economics.
  3. Walton, David R., 1988. "Does GNP have a unit root? : Evidence for the UK," Economics Letters, Elsevier, vol. 26(3), pages 219-224.
  4. DeJong, David N, et al, 1992. "Integration versus Trend Stationarity in Time Series," Econometrica, Econometric Society, vol. 60(2), pages 423-33, March.
  5. Nelson, Charles R. & Plosser, Charles I., 1982. "Trends and random walks in macroeconmic time series : Some evidence and implications," Journal of Monetary Economics, Elsevier, vol. 10(2), pages 139-162.
  6. Schwert, G William, 2002. "Tests for Unit Roots: A Monte Carlo Investigation," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 5-17, January.
  7. Perron, P, 1988. "The Great Crash, The Oil Price Shock And The Unit Root Hypothesis," Papers 338, Princeton, Department of Economics - Econometric Research Program.
  8. Rappoport, Peter & Reichlin, Lucrezia, 1989. "Segmented Trends and Non-stationary Time Series," Economic Journal, Royal Economic Society, vol. 99(395), pages 168-77, Supplemen.
  9. Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-72, June.
  10. Perron, P., 1986. "Trends and Random Walks in Macroeconomic Time Series: Further Evidence From a New Approach," Cahiers de recherche 8650, Universite de Montreal, Departement de sciences economiques.
  11. Anindya Banerjee & Robin L. Lumsdaine & James H. Stock, 1990. "Recursive and Sequential Tests of the Unit Root and Trend Break Hypothesis: Theory and International Evidence," NBER Working Papers 3510, National Bureau of Economic Research, Inc.
  12. Wynne, Mark, 1992. "Does aggregate output have a unit root?," Economics Letters, Elsevier, vol. 39(2), pages 179-182, June.
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