A Bayesian Analysis of Total Factor Productivity Persistence

Tapas Mishra, Claude Diebolt, Mamata Parhi and Asit Ranjan Mohanty

No 09-10, Working Papers from Association Française de Cliométrie (AFC)

Abstract: This paper studies persistence properties of total factor productivity (TFP) from Bayesian perspective. Emphasizing that classical unit root test for TFP cannot determine the probability whether a stochastic shock to the series is permanent, we design a Bayesian unit root test for TFP. Examination for a set of African economies' TFP data show that the probability of having a unit root is very high for majority of countries. The evidence of high-persistence has implications for perpetual growth and business cycles.

Keywords: Total factor productivity; Persistence; Bayesian unit root; Innovation; Business cycle fluctuations. (search for similar items in EconPapers)
JEL-codes: C11 C32 O47 O55 (search for similar items in EconPapers)
Pages: 10
Date: 2009
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.cliometrie.org/images/wp/AFC_WP_10-2009.pdf (application/pdf)

Related works:
Journal Article: A Bayesian Analysis of Total Factor Productivity Persistence (2010)
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:afc:wpaper:09-10

Access Statistics for this paper

More papers in Working Papers from Association Française de Cliométrie (AFC) Contact information at EDIRC.
Bibliographic data for series maintained by ().