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Is real GDP stationary? Evidence from a panel unit root test with cross-sectional dependence and historical data

Nektarios Aslanidis () and Stilianos Fountas ()

Discussion Paper Series from Department of Economics, University of Macedonia

Abstract: We use historical data that cover more than one century on real GDP for industrial countries and employ the Pesaran panel unit root test that allows for cross-sectional dependence to test for a unit root on real GDP. At first, we find strong evidence against the unit root null. Our results seem to be robust to the chosen group of countries and, in most cases, the sample period. However, the sequential panel selection method reveals that the rejection of the unit root null is due to the stationarity of real GDP in a few countries only. Real GDP is less stationary mostly in fixed exchange rate regimes like the Gold Standard and the Bretton Woods system.

Keywords: real GDP stationarity; cross-sectional dependence; CIPS test; sequential panel selection method (search for similar items in EconPapers)
JEL-codes: C32 E32 (search for similar items in EconPapers)
Date: 2012-10, Revised 2012-10
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Downloads: (external link)
http://aphrodite.uom.gr/econwp/pdf/dp092012.pdf

Related works:
Journal Article: Is real GDP stationary? Evidence from a panel unit root test with cross-sectional dependence and historical data (2014) Downloads
Working Paper: Is real GDP stationary? Evidence from a panel unit root test with cross-sectional dependence and historical data (2012) Downloads
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