Characterising the South African business cycle: is GDP difference-stationary or trend-stationary in a Markov-switching setup? - Il ciclo economico del Sud Africa: il PIL è stazion ario alle differenze o stazionario nel trend in un modello Markov-switching?

Mehmet Balcilar, Rangan Gupta, Charl Jooste and Omid Ranjbar ()

Economia Internazionale / International Economics, 2016, vol. 69, issue 1, 33-44

Abstract: We test for a unit root in de-trended GDP in a two- state Markov switching specification using a modified Augmented Dickey-Fuller test. Our results show that a first difference GDP specification is preferred over the de-trended spec ification. In addition, the null of difference- stationary GDP cannot be rejected. By implication, shocks to GDP are permanent which validates specifying trend GDP with a stochastic co mponent – something that is inherently assumed in a number of research papers that estimat e potential GDP growth and that model GDP in general equilibrium specifications. - In questo studio si effettua un test a radice unita ria sul PIL ‘detrendizzato’ in un modello Markov-switching a due paesi, utilizzando il test a ugumented Dickey-Fuller. I risultati mostrano che una specificazione alle differenze prime del PI L è preferibile alla specificazione detrendizzata. Inoltre l’ipotesi nulla di GDP stazi onario alle differenze non può essere rigettata. Gli effetti degli shock al PIL risultano permanenti e ciò convalida la specificazione del trend con una componente stocastica – così come assunto in u n ampio numero di lavori di ricerca.

Keywords: Markov-Switching; Difference-Stationary; Trend-Stationary (search for similar items in EconPapers)
JEL-codes: C22 C25 E32 (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.iei1946.it/upload/rivista_articoli/alle ... ilargupta-110517.pdf Full text (application/pdf)

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:ris:ecoint:0771

Access Statistics for this article

Economia Internazionale / International Economics is currently edited by Giovanni Battista Pittaluga

More articles in Economia Internazionale / International Economics from Camera di Commercio Industria Artigianato Agricoltura di Genova Via Garibaldi 4, 16124 Genova, Italy. Contact information at EDIRC.
Bibliographic data for series maintained by Angela Procopio ().