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Requiem for the unit root in per capita real GDP? Additional evidence from historical data

Author

Listed:
  • Edoardo Gaffeo
  • Marco Gallegati
  • Mauro Gallegati

Abstract

We present new evidence on the uncertain nature of nonstationarity – that is, trend stationarity vs. difference stationarity – of aggregate per capita real output, by submitting to a composite testing procedure a 20-country sample over an historically relevant time span. We find that the degree of uncertainty associated with the presence of a unit root appears to be well exceeding that shown by other studies conducted so far on cross-country historical data. For almost all the countries in our sample, inference appears to be strongly dependent on the type of test one makes use of, so that conclusions reached at early stages of a composite confirmatory testing procedure have to be frequently discarded at subsequent stages. Our reading of these findings points towards rejecting the assumption of temporal homogeneity of per capita GDP time series over long time spans, a prerequisite implicitly assumed in all studies looking for invariant statistical properties like stochastic or deterministic nonstationarity. Copyright Springer-Verlag 2005

Suggested Citation

  • Edoardo Gaffeo & Marco Gallegati & Mauro Gallegati, 2005. "Requiem for the unit root in per capita real GDP? Additional evidence from historical data," Empirical Economics, Springer, vol. 30(1), pages 37-63, January.
    • Handle: RePEc:spr:empeco:v:30:y:2005:i:1:p:37-63
    DOI: 10.1007/s00181-004-0211-y
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    Citations

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    Cited by:

    1. Roel van Elk & Marc van der Steeg & Dinand Webbink, 2013. "The effects of a special program for multi-problem school dropouts on educational enrolment, employment and criminal behaviour; Evidence from a field experiment," CPB Discussion Paper 241.rdf, CPB Netherlands Bureau for Economic Policy Analysis.
    2. Vasudeva N. R. Murthy & Emmanuel Anoruo, 2009. "Are Per Capita Real GDP Series in African Countries Non-stationary or Non-linear? What does Empirical Evidence Reveal?," Economics Bulletin, AccessEcon, vol. 29(4), pages 2492-2504.
    3. Dergiades, Theologos & Martinopoulos, Georgios & Tsoulfidis, Lefteris, 2013. "Energy consumption and economic growth: Parametric and non-parametric causality testing for the case of Greece," Energy Economics, Elsevier, vol. 36(C), pages 686-697.
    4. Giorgio Fagiolo & Mauro Napoletano & Andrea Roventini, 2008. "Are output growth-rate distributions fat-tailed? some evidence from OECD countries," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 23(5), pages 639-669.
    5. Jonathan Hill & Liang Peng, 2014. "Unified Interval Estimation For Random Coefficient Autoregressive Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 35(3), pages 282-297, May.
    6. Sakiru Adebola Solarin & Gema Lopez & Luis A. Gil‐Alana, 2022. "Persistence analysis of research intensity in OECD countries since 1870," Australian Economic Papers, Wiley Blackwell, vol. 61(4), pages 738-750, December.
    7. Brantley Liddle & George Messinis, 2018. "Revisiting carbon Kuznets curves with endogenous breaks modeling: evidence of decoupling and saturation (but few inverted-Us) for individual OECD countries," Empirical Economics, Springer, vol. 54(2), pages 783-798, March.
    8. David Greasley & Les Oxley, 2010. "Cliometrics And Time Series Econometrics: Some Theory And Applications," Journal of Economic Surveys, Wiley Blackwell, vol. 24(5), pages 970-1042, December.
    9. Liddle, Brantley & Messinis, George, 2015. "Revisiting sulfur Kuznets curves with endogenous breaks modeling: Substantial evidence of inverted-Us/Vs for individual OECD countries," Economic Modelling, Elsevier, vol. 49(C), pages 278-285.
    10. repec:zbw:bofrdp:2010_014 is not listed on IDEAS
    11. repec:hal:wpspec:info:hdl:2441/9848 is not listed on IDEAS
    12. repec:spo:wpecon:info:hdl:2441/9848 is not listed on IDEAS
    13. Emanuele Russo & Neil Foster-McGregor & Bart Verpagen, 2019. "Characterizing growth instability: new evidence on unit roots and structural breaks in long run time series," LEM Papers Series 2019/29, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
    14. Kauko, Karlo, 2010. "The feasibility of through-the-cycle ratings," Bank of Finland Research Discussion Papers 14/2010, Bank of Finland.
    15. repec:spo:wpmain:info:hdl:2441/9848 is not listed on IDEAS
    16. repec:hal:spmain:info:hdl:2441/9848 is not listed on IDEAS
    17. Emanuele Russo & Neil Foster-McGregor, 2022. "Characterizing growth instability: new evidence on unit roots and structural breaks in countries’ long run trajectories," Journal of Evolutionary Economics, Springer, vol. 32(2), pages 713-756, April.
    18. Paresh Narayan, 2008. "Is Asian per capita GDP panel stationary?," Empirical Economics, Springer, vol. 34(3), pages 439-449, June.

    More about this item

    Keywords

    Unit-root tests; structural instability; output persistence; C22; C53; E10;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • E10 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - General

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