Does Stationarity Characterize Real GDP Movements? Results from Non-Linear Unit Root Tests

Dimitris Christopoulos

Macroeconomics from University Library of Munich, Germany

Abstract: Using non-linear unit root tests this paper investigates non- stationarity of real GDP per capita for seven OECD countries over the period 1900-2000. Non-linear unit root tests are more powerful than traditional ADF statistics in rejecting the null unit root hypothesis. To this end we adopt a first order Fourier approximation that may capture many features of non-linear adjustment. Empirical results show that, contrary to what the linear ADF statistics suggest, stationarity characterizes six out of the seven countries. This finding stands at variance with other recent studies which conclude that movements in real GDP per capita can be characterized as a non-stationary process.

Keywords: Unit root tests; non-linear model; real GDP (search for similar items in EconPapers)
JEL-codes: C22 (search for similar items in EconPapers)
Pages: 8 pages
Date: 2004-06-02
New Economics Papers: this item is included in nep-ecm and nep-ets
Note: Type of Document - pdf; pages: 8
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Persistent link: https://EconPapers.repec.org/RePEc:wpa:wuwpma:0406002

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