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- Title
Does a non-linear mean reverting process characterize real GDP movements?
- Authors
Christopoulos, Dimitris
- Abstract
This paper uses non-linear models to investigate non-stationarity of real GDP per capita for seven OECD countries over the period 1900–2000. Unit root tests based on non-linear models are more powerful than traditional ADF statistics in rejecting the null unit root hypothesis. Empirical results show that, contrary to what the linear ADF statistics suggest, stationarity characterizes five 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.
- Subjects
OECD countries; GROSS domestic product; NONLINEAR statistical models; INPUT-output analysis; RESEARCH methodology; STATISTICAL hypothesis testing; MATHEMATICAL models of economics; STATISTICAL bootstrapping; ECONOMIC models; ECONOMIC history
- Publication
Empirical Economics, 2006, Vol 31, Issue 3, p601
- ISSN
0377-7332
- Publication type
Article
- DOI
10.1007/s00181-005-0034-5