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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
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