Unit Roots and Infrequent Large Shocks: New International Evidence on Output

Olivier Darné and Claude Diebolt ()
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Claude Diebolt: BETA - Bureau d'Économie Théorique et Appliquée - INRA - Institut National de la Recherche Agronomique - UNISTRA - Université de Strasbourg - UL - Université de Lorraine - CNRS - Centre National de la Recherche Scientifique

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Abstract: The nature and magnitude of the economic shocks that have affected the per capita GDP of 16 OECD countries are analyzed over a long period using the outlier method. Strong proof of infrequent large permanent and transitory shocks were found, essentially resulting from the two major wars in the twentieth century, the recession in the 1920s, the Great Depression, among others. We also examine the nature of the output trend by combining different tests of non-stationarity on different GDP series corrected by the outliers detected. It is shown that the per capita GDP series cannot reject the unit root hypothesis in 13 of the 16 countries examined. No conclusion could be drawn for the other countries because the test results were contradictory.

Keywords: Infrequent large shocks; Unit roots; Cliometrics; GDP per capita; Outliers (search for similar items in EconPapers)
Date: 2004
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Published in Journal of Monetary Economics, 2004, 51 (7), pp.1449-1465. ⟨10.1016/j.jmoneco.2003.12.007⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-00279015

DOI: 10.1016/j.jmoneco.2003.12.007

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