Is real GDP per capita a stationary process? Smooth transitions, nonlinear trends and unit root testing

Cuestas, Juan Carlos; Garratt, Dean

doi:10.1007/s00181-010-0389-0

Cited by 40 publications

(19 citation statements)

References 31 publications

(26 reference statements)

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“…The first step is to determine the order of integration of the time series. Initialised by Nelson and Plosser (1982), there has been an extensive debate on whether macroeconomic time series are trend-stationary or follow a unit root process with a potential drift, see for instance Perron (1989), Shin et al (1992) and Cuestas and Garratt (2011). The latter view seems to be the more prominent in the literature as most authors apply unit root and co-integration techniques to macroeconomic time series like the GDPPC.…”

Section: Methods and Datamentioning

confidence: 99%

“…As we find no strong evidence against a unit root and for trend-stationarity in both the original and the log transformed GDPPC in any of the countries except for Switzerland, 5 we generally assume the series to follow unit root processes with drift terms. We are aware of the heterogeneity of the countries and the weaknesses of the underlying tests, as pointed out in Cuestas and Garratt (2011). In particular, our simple time trend models might not capture true non-3 Note that this approach is essentially equivalent to the comparison of the log-likelihood between a non-transformed and a log-transformed GDPPC series as done by Wibe and Carlen (2006) who used GDPPC data up to 2005.…”

Section: Methods and Datamentioning

confidence: 99%

See 1 more Smart Citation

Do Mature Economies Grow Exponentially?

Lange

Pütz

Kopp

2018

Ecological Economics

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Most models that try to explain economic growth indicate exponential growth paths. In recent years, however, a lively discussion has emerged considering the validity of this notion. In the empirical literature dealing with drivers of economic growth, the majority of articles is based upon an implicit assumption of exponential growth. Few scholarly articles have addressed this issue so far. In order to shed light on this issue, we estimate autoregressive integrated moving average time series models based on Gross Domestic Product Per Capita data for 18 mature economies from 1960 to 2013. We compare the adequacy of linear and exponential growth models and conduct several robustness checks. Our findings cast doubts on the widespread belief of exponential growth and suggest a deeper discussion on alternative economic grow theories.

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Section: Methods and Datamentioning

confidence: 99%

Section: Methods and Datamentioning

confidence: 99%

Do Mature Economies Grow Exponentially?

Lange

Pütz

Kopp

2018

Ecological Economics

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“…A similar phenomenon occurs in nonlinear models. If there is nonlinearity in the data, linear unit root tests come across with power problem, and test results are biased to non-rejection of the null hypothesis [20].…”

Section: Empirical Methodologymentioning

confidence: 99%

Convergence of Energy Intensity in OECD Countries

Canel¹,

Güri̇ş²,

Güri̇ş³

et al. 2017

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This paper investigates whether there is energy intensity convergence in the Organization for Economic Cooperation and Development (OECD) countries or not by using annual data from the 1980-2011 period. OECD countries are Australia, Austria, Belgium, Canada, Chile, Denmark, Finland, France, Germany, Greece, Ireland, Italy, Japan, North Korea, South Korea, Luxembourg, Mexico, Netherlands, New Zealand, Norway, Portugal, Spain, Sweden, Switzerland, Turkey, UK, and USA. Energy intensity is measured by the ratio of total energy consumption to total output. Energy intensity measures the energy consumption of an economy and its overall energy efficiency. We used linear and nonlinear unit root tests from the recent literature to accomplish this goal. An analysis of the test results shows that there is no convergence in Chile, Finland, Greece, Ireland, South Korea, Luxembourg, Mexico, Netherlands, New Zealand, Portugal, Spain, Sweden, Switzerland, and the UK. These countries should start implementing changes to their energy policies to achieve effective energy use.

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“…In recent decades there has been a growth in the amount of literature aimed at characterising empirically the nonlinear behaviour of GDP per capita (see, inter alia, Teräsvirta andAnderson, 1992, andGarratt, 2011) and unemployment rates (Skalin and Teräsvirta, 2002, Faria and León-Ledesma, 2008, and Franchi and Ordóñez, 2011. Franchi and Ordóñez (2011) justify the estimation of a nonlinear model for the unemployment rate in Spain, based upon the assumption of multiple equilibria.…”

Section: The Econometric Approachmentioning

confidence: 99%

Unemployment Convergence in Central and Eastern European Countries: Driving Forces and Cluster Behavior

Cuestas

Monfort

Ordóñez

2015

Emerging Markets Finance and Trade

Self Cite

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Employing a nonlinear logistic smooth transition autoregression system and co-movement analysis, we find that the German business cycle has acted as a common driver affecting the cyclical behaviour of unemployment rates in Central and Eastern European countries. In addition, we identify two convergence clubs in unemployment dynamics. The first comprises the Baltic States, Hungary and Poland, and the second group of countries is composed of the Czech Republic and Slovakia. Interestingly, this classification matches the labour market policies and institutional divergences observed among these countries.JEL classification: C22, E32, F15.

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Is real GDP per capita a stationary process? Smooth transitions, nonlinear trends and unit root testing

Abstract: Real GDP per capita, Unit root tests, Persistence, Nonlinearities, Smooth transitions, C22, E31, E32,

Cited by 40 publications

References 31 publications

Do Mature Economies Grow Exponentially?

Do Mature Economies Grow Exponentially?

Convergence of Energy Intensity in OECD Countries

Unemployment Convergence in Central and Eastern European Countries: Driving Forces and Cluster Behavior

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