Is Germany's GDP Trend-Stationary? A Measurement-With-Theory Approach / Ist das deutsche BIP trendstationär: Ein Measurement-With-Theory Ansatz
Summary The time series properties of German GDP have been re-examined in recent research. Extending the sample to include GDP data from 1950 onwards, some researchers argued in favor of a trend-stationary rather than difference stationary representation of real log GDP. I show that this conclusion is based on an atheoretic trend model underlying the unit root tests. A simple linear trend model fails to take the post World-War II catch-up process properly into account. I use the Solow growth model to discriminate between transitional catch-up dynamics and longrun equilibrium growth. With the proper transformation of GDP data, I am able to use standard unit root tests and find that both ADF and KPSS tests suggest a difference stationary model. This evidence is supported by non-standard unit root tests which allow for polynomial trend representations.
Year of publication: |
2005
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Authors: | Lücke, Bernd |
Published in: |
Jahrbücher für Nationalökonomie und Statistik. - Lucius & Lucius, ISSN 2366-049X, ZDB-ID 2416178-0. - Vol. 225.2005, 1, p. 60-76
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Publisher: |
Lucius & Lucius |
Subject: | Solow growth model | transistional dynamics | unit root tests | Solow’sches Wachstumsmodell | Übergangsdynamik | Einheitswurzeltest |
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