TY - JOUR
T1 - Is real GDP per capita a stationary process? Smooth transitions, nonlinear trends and unit root testing
AU - Cuestas, Juan Carlos
AU - Garratt, Dean
PY - 2011/12/1
Y1 - 2011/12/1
N2 - The aim of this article is to provide additional evidence about the order of integration of constant price GDP per capita in a selection of countries. It does so by taking into account the possibility of non-linear deterministic trends and of asymmetric adjustment towards equilibrium. We find evidence of a global stationary ESTAR process around a nonlinear deterministic trend in almost half of the selected countries. These results show that nonlinearities affect real GDP series. By neglecting them, one can draw misleading conclusions from unit root tests. Specifically, the article questions the so-called stylised fact of a near unit root which has so influenced macroeconomic thought over the past two decades.
AB - The aim of this article is to provide additional evidence about the order of integration of constant price GDP per capita in a selection of countries. It does so by taking into account the possibility of non-linear deterministic trends and of asymmetric adjustment towards equilibrium. We find evidence of a global stationary ESTAR process around a nonlinear deterministic trend in almost half of the selected countries. These results show that nonlinearities affect real GDP series. By neglecting them, one can draw misleading conclusions from unit root tests. Specifically, the article questions the so-called stylised fact of a near unit root which has so influenced macroeconomic thought over the past two decades.
UR - http://www.scopus.com/inward/record.url?eid=2-s2.0-80955140361&partnerID=MN8TOARS
UR - https://link.springer.com/article/10.1007/s00181-010-0389-0
U2 - 10.1007/s00181-010-0389-0
DO - 10.1007/s00181-010-0389-0
M3 - Article
SN - 0377-7332
VL - 41
SP - 555
EP - 563
JO - Empirical Economics
JF - Empirical Economics
ER -