The uncertain unit root in real GNP: A re-examination

Olivier Darné

Journal of Macroeconomics, 2009, vol. 31, issue 1, 153-166

Abstract: In this paper, we study the nature of the trend (deterministic or stochastic) for long spans of US GNP data (1869-1993). This distinction is important for macroeconomic theories, because the two models imply very different source of output fluctuations due to (transitory or permanent) shocks. We show, using an alternative method relative to the previous studies, that the period of turmoil experienced from 1929 to 1949 can be explained by several large shocks and some of them have a permanent effect due to the Great Depression and World War II. We also find evidence in favor of stochastic trend. These results show that the persistence in US output can be explained both by infrequent but significant economic and financial events (infrequent large shocks) and by period-by-period permanent innovations (frequent small shocks), such as productivity shocks resulting from technological changes, as the stochastic trend would imply.

Keywords: GNP; Output; persistence; Unit; root; test; Outliers (search for similar items in EconPapers)
Date: 2009
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (20)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0164-0704(07)00134-6
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:jmacro:v:31:y:2009:i:1:p:153-166

Access Statistics for this article

Journal of Macroeconomics is currently edited by Douglas McMillin and Theodore Palivos

More articles in Journal of Macroeconomics from Elsevier
Bibliographic data for series maintained by Catherine Liu ().