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 journalNot applicablepeer-review

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Detail(s)

Original languageEnglish
Pages (from-to)134-162
Journal / PublicationOxford Economic Papers
Volume48
Issue number1
Publication statusPublished - Jan 1996
Externally publishedYes

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.