A Bayesian Analysis of Total Factor Productivity Persistence
Tapas Mishra (),
Claude Diebolt (),
Mamata Parhi and
Asit Ranjan Mohanty
No 09-10, Working Papers from Association Française de Cliométrie (AFC)
This paper studies persistence properties of total factor productivity (TFP) from Bayesian perspective. Emphasizing that classical unit root test for TFP cannot determine the probability whether a stochastic shock to the series is permanent, we design a Bayesian unit root test for TFP. Examination for a set of African economies' TFP data show that the probability of having a unit root is very high for majority of countries. The evidence of high-persistence has implications for perpetual growth and business cycles.
Keywords: Total factor productivity; Persistence; Bayesian unit root; Innovation; Business cycle fluctuations. (search for similar items in EconPapers)
JEL-codes: C11 C32 O47 O55 (search for similar items in EconPapers)
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Journal Article: A Bayesian Analysis of Total Factor Productivity Persistence (2010)
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Persistent link: http://EconPapers.repec.org/RePEc:afc:wpaper:09-10
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