Is real GDP per capita a stationary process? Smooth transitions, nonlinear trends and unit root testing
Juan Cuestas and
NBS Discussion Papers in Economics from Economics, Nottingham Business School, Nottingham Trent University
The aim of this paper is to provide additional evidence about the order of integration of constant price GDP per capita in a selection of countries. It does so by taking into account the possibility of non-linear deterministic trends and of asymmetric adjustment towards equilibrium. We find evidence of a global stationary ESTAR process around a nonlinear deterministic trend in almost half of the selected countries. These results show that nonlinearities affect real GDP series. By neglecting them, one can draw misleading conclusions from unit root tests. Specifically, the paper questions the so-called stylised fact of a near unit root which has so influenced macroeconomic thought over the past two decades.
Keywords: Real GDP per capita; Unit root tests; Persistence; Nonlinearities; Smooth transitions (search for similar items in EconPapers)
JEL-codes: C22 E31 E32 (search for similar items in EconPapers)
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Journal Article: Is real GDP per capita a stationary process? Smooth transitions, nonlinear trends and unit root testing (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:nbs:wpaper:2008/12
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