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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)

Abstract: 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)
Date: 2009
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Journal Article: A Bayesian Analysis of Total Factor Productivity Persistence (2010)
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