Deterministic, stochastic, and segmented trends in aggregate output : A cross-country analysis
Research output: Journal Publications and Reviews (RGC: 21, 22, 62) › 21_Publication in refereed journal › peer-review
Author(s)
Detail(s)
Original language | English |
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Pages (from-to) | 134-162 |
Journal / Publication | Oxford Economic Papers |
Volume | 48 |
Issue number | 1 |
Publication status | Published - Jan 1996 |
Externally published | Yes |
Link(s)
Abstract
This paper examines whether output per capita in 126 countries is better described as trend or difference stationary, using appropriate finite-sample critical values. Depending upon whether one uses solely a test with a trend stationary null, or solely one with a difference stationary null, very different conclusions are obtained. This outcome suggests that it is useful to consider the tests complementary, rather than competing. We find that when a definite characterization of GDP can be made, it is very likely to indicate a difference stationary process. However, the likelihood of making definite conclusions does vary positively with both income level and data quality.
Citation Format(s)
Deterministic, stochastic, and segmented trends in aggregate output : A cross-country analysis. / Cheung, Yin-Wong; Chinn, Menzie David.
In: Oxford Economic Papers, Vol. 48, No. 1, 01.1996, p. 134-162.Research output: Journal Publications and Reviews (RGC: 21, 22, 62) › 21_Publication in refereed journal › peer-review