Real GDP growth rates across countries: long memory and mean shifts

Luis Gil-Alana

Applied Economics Letters, 2008, vol. 15, issue 6, 449-455

Abstract: This article deals with the analysis of the long memory property in the growth rates of the real GDP series across various countries, allowing for a mean break at an unknown period of time. We use a procedure suggested by Hsu and Kuan (1998, 2000) and the results show that the mean break takes place at 1933 for the UK, at 1944 for the US and at 1946 for Germany and Japan. The order of integration seems to be around zero for Germany and Japan; it is slightly positive for the UK, and negative for the US. Thus, we only obtain some evidence of mean reversion in the real GDP series for the case of the US.

Date: 2008
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DOI: 10.1080/13504850500401460

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