Der Zufall und seine Bedeutung für die Entwicklung des deutschen Bruttoinlandsprodukts 1850–1990 / Stochastic Shocks and their Impact on the Development of German Gross Domestic Product from 1850–1990

Metz Rainer
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Metz Rainer: Zentralarchiv für Empirische Sozialforschung an der Universität zu Köln, Abt. ZHSF, Liliencronstr. 6, D-50931 Köln-Lindenthal

Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), 1998, vol. 217, issue 3, 308-333

Abstract: Following the influential work of Nelson and Plosser (1982) stochastic trends in macroeconomic time series are considered to be a stylized fact. However, since the stochastic trend hypothesis can be rejected for many economic series if a segmented trend model is considered as an alternative, there is at present no agreement on the proper modeling of national product. In this paper „Big“-shocks in the series of German Gross Domestic Product from 1850-1990 are modeled by means of an outlier analysis within the ARIMA-approach. Besides the identification and modeling of such outliers their impact on the trend and cycle component and especially on long term growth variations is investigated.

Keywords: Stochastic trends; long term growth; outlier analysis; structural breaks; Stochastische Trends; langfristige Wachstumsschwankungen; Ausreißeranalyse; Strukturbrüche (search for similar items in EconPapers)
Date: 1998
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Persistent link: https://EconPapers.repec.org/RePEc:jns:jbstat:v:217:y:1998:i:3:p:308-333

DOI: 10.1515/jbnst-1998-0304

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