How sensitive are trends to data definitions Results for East Asian and G5 countries

Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journalNot applicablepeer-review

6 Scopus Citations
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Detail(s)

Original languageEnglish
Pages (from-to)1-6
Journal / PublicationApplied Economics Letters
Volume2
Issue number1
Publication statusPublished - Jan 1995
Externally publishedYes

Abstract

This paper examines whether test results characterizing per capita output as either trend or difference stationary are sensitive to whether output is valued in domestic currency terms, or in some international numeraire, such as the Summers-Heston international dollar. Using the conventional ADF test, and the Kwiatkowsi et al. test with a trend stationary null, we find that for economies such as those of the East Asian countries, the best description of the persistence of the data does depend upon the valuation of output. No such discrepancy is found for the output series of the G5 countries. We conclude that researchers should be extremely cautious about making generalizations regarding the time-series properties of output. © 1995, Taylor & Francis Group, LLC. All right reserved.