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The Nonstationarity of Aggregate Output: Some Additional International Evidence

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  • Zelhorst, Dick
  • de Haan, Jakob

Abstract

In this paper, the stationarity of aggregate output is examined using the scaled variogram for a sample of twelve countries. It is argued that if the true data generating process of output is stationary around a deterministic trend with a change in mean and/or growth rate, the results of previous studies are biased. Once the authors allow for a one time exogenous 'shock,' the conclusions are indeed less clear cut and for some countries even reversed. Copyright 1994 by Ohio State University Press.

Suggested Citation

  • Zelhorst, Dick & de Haan, Jakob, 1994. "The Nonstationarity of Aggregate Output: Some Additional International Evidence," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 26(1), pages 23-33, February.
    • Handle: RePEc:mcb:jmoncb:v:26:y:1994:i:1:p:23-33
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    Citations

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    Cited by:

    1. Cheung, Yin-Wong & Chinn, Menzie David, 1996. "Deterministic, Stochastic, and Segmented Trends in Aggregate Output: A Cross-Country Analysis," Oxford Economic Papers, Oxford University Press, vol. 48(1), pages 134-162, January.
    2. Matthias Lutz, 1999. "Unit roots versus segmented trends in developing country output series," Applied Economics Letters, Taylor & Francis Journals, vol. 6(3), pages 181-184.
    3. Diego Romero-Ávila, 2012. "Multiple trend shifts and unit roots in US state income levels: implications for long-run growth," The Annals of Regional Science, Springer;Western Regional Science Association, vol. 48(3), pages 641-661, June.
    4. Wilms, Philip & Swank, Job & de Haan, Jakob, 2018. "Determinants of the real impact of banking crises: A review and new evidence," The North American Journal of Economics and Finance, Elsevier, vol. 43(C), pages 54-70.
    5. Jakob De Haan & Jan Egbert Sturm, 1995. "Is it real? The relationship between real deficits and real growth: new evidence using long-run data," Applied Economics Letters, Taylor & Francis Journals, vol. 2(4), pages 98-102.
    6. Muhammad Omer & Jakob De Haan & Bert Scholtens, 2015. "An empirical analysis of excess interbank liquidity: a case study of Pakistan," Applied Economics, Taylor & Francis Journals, vol. 47(44), pages 4754-4776, March.
    7. Evans, J. Lynne & Amey, Michael C., 1996. "Seigniorage and tax smoothing: Testing the extended tax-smoothing model," Journal of Macroeconomics, Elsevier, vol. 18(1), pages 111-125.
    8. Fleissig, Adrian R. & Strauss, Jack, 1999. "Is OECD real per capita GDP trend or difference stationary? Evidence from panel unit root tests," Journal of Macroeconomics, Elsevier, vol. 21(4), pages 673-689.
    9. Diebold & Senhadji, "undated". "Deterministic vs. Stochastic Trend in U.S. GNP, Yet Again," Home Pages _054, University of Pennsylvania.
    10. Diego Romero‐Ávila, 2007. "The Unit Root Hypothesis for Aggregate Output May Not Hold after All: New Evidence from a Panel Stationarity Test with Multiple Breaks," Southern Economic Journal, John Wiley & Sons, vol. 73(3), pages 642-658, January.

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