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Persistence in Real GDP Growth Rates: Univariate and Multivariate Evidence for the US, UK and Japan

Author

Listed:
  • Guglielmo Maria Caporale
  • Luis Alberiko Gil-Alana
  • Guillermo Perez Tellechea

Abstract

This paper examines persistence in the real GDP growth rates of the US, UK and Japan. For this purpose, both univariate and multivariate parametric and semiparametric fractional integration methods are used. The results indicate cross-country heterogeneity. Specifically, in the case of the US and the UK the order of integration is close to 0, and the null hypothesis of short memory cannot be rejected for either country. By contrast, the order of integration is significantly positive in the case of Japan, the corresponding series exhibiting long memory with the effects of shocks being long-lived. A plausible explanation for the higher degree of persistence in the case of Japan is its demographic decline, rigid labour markets and entrenched corporate savings behaviour. These findings are robust to using different estimation methods. Impulse response analysis is also carried out to compare VAR and VARFI specifications. The results show that conventional VAR models may underestimate both the duration of domestic shocks and the persistence of cross-country transmission mechanisms.

Suggested Citation

  • Guglielmo Maria Caporale & Luis Alberiko Gil-Alana & Guillermo Perez Tellechea, 2026. "Persistence in Real GDP Growth Rates: Univariate and Multivariate Evidence for the US, UK and Japan," CESifo Working Paper Series 12781, CESifo.
    • Handle: RePEc:ces:ceswps:_12781
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    References listed on IDEAS

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    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • O40 - Economic Development, Innovation, Technological Change, and Growth - - Economic Growth and Aggregate Productivity - - - General

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