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Does Stationarity Characterize Real GDP Movements? Results from Non-Linear Unit Root Tests

  • Dimitris Christopoulos

    (Panteion University)

Using non-linear unit root tests this paper investigates non- stationarity of real GDP per capita for seven OECD countries over the period 1900-2000. Non-linear unit root tests are more powerful than traditional ADF statistics in rejecting the null unit root hypothesis. To this end we adopt a first order Fourier approximation that may capture many features of non-linear adjustment. Empirical results show that, contrary to what the linear ADF statistics suggest, stationarity characterizes six out of the seven countries. This finding stands at variance with other recent studies which conclude that movements in real GDP per capita can be characterized as a non-stationary process.

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File URL: http://econwpa.repec.org/eps/mac/papers/0406/0406002.pdf
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Paper provided by EconWPA in its series Macroeconomics with number 0406002.

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Length: 8 pages
Date of creation: 02 Jun 2004
Date of revision:
Handle: RePEc:wpa:wuwpma:0406002
Note: Type of Document - pdf; pages: 8
Contact details of provider: Web page: http://econwpa.repec.org

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  1. Enders, Walter & Granger, Clive W J, 1998. "Unit-Root Tests and Asymmetric Adjustment with an Example Using the Term Structure of Interest Rates," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(3), pages 304-11, July.
  2. Shin, Dong Wan & Lee, Oesook, 2001. "Tests for Asymmetry in Possibly Nonstationary Time Series Data," Journal of Business & Economic Statistics, American Statistical Association, vol. 19(2), pages 233-44, April.
  3. Pantula, Sastry G & Gonzalez-Farias, Graciela & Fuller, Wayne A, 1994. "A Comparison of Unit-Root Test Criteria," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(4), pages 449-59, October.
  4. Yin-Wong Cheung & Menzie Chinn, 1995. "Deterministic, stochastic and segmented trends in aggregate output: A cross-country analysis," Macroeconomics 9508005, EconWPA.
  5. Walter Wasserfallen, 1986. "Non-stationarities in Macro-economic Time Series--Further Evidence an d Implications," Canadian Journal of Economics, Canadian Economics Association, vol. 19(3), pages 498-510, August.
  6. Kapetanios, George & Shin, Yongcheol & Snell, Andy, 2003. "Testing for a unit root in the nonlinear STAR framework," Journal of Econometrics, Elsevier, vol. 112(2), pages 359-379, February.
  7. 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.
  8. Bruce E. Hansen & Mehmet Caner, 1997. "Threshold Autoregressions with a Unit Root," Boston College Working Papers in Economics 381, Boston College Department of Economics.
  9. Ludlow, Jorge & Enders, Walter, 2000. "Estimating non-linear ARMA models using Fourier coefficients," International Journal of Forecasting, Elsevier, vol. 16(3), pages 333-347.
  10. n/a, 2001. "Balance of payments prospects in EMU," NIESR Discussion Papers 164, National Institute of Economic and Social Research.
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