The uncertain unit root in real GNP: A re-examination
In this paper, we study the nature of the trend (deterministic or stochastic) for long spans of US GNP data (1869-1993). This distinction is important for macroeconomic theories, because the two models imply very different source of output fluctuations due to (transitory or permanent) shocks. We show, using an alternative method relative to the previous studies, that the period of turmoil experienced from 1929 to 1949 can be explained by several large shocks and some of them have a permanent effect due to the Great Depression and World War II. We also find evidence in favor of stochastic trend. These results show that the persistence in US output can be explained both by infrequent but significant economic and financial events (infrequent large shocks) and by period-by-period permanent innovations (frequent small shocks), such as productivity shocks resulting from technological changes, as the stochastic trend would imply.
Year of publication: |
2009
|
---|---|
Authors: | Darné, Olivier |
Published in: |
Journal of Macroeconomics. - Elsevier, ISSN 0164-0704. - Vol. 31.2009, 1, p. 153-166
|
Publisher: |
Elsevier |
Keywords: | GNP Output persistence Unit root test Outliers |
Saved in:
Online Resource
Saved in favorites
Similar items by person
-
Oil price shocks, real economic activity and uncertainty
Charles, Amélie, (2020)
-
DOES THE GREAT RECESSION IMPLY THE END OF THE GREAT MODERATION? INTERNATIONAL EVIDENCE
Charles, Amélie, (2018)
-
Stock return predictability : Evaluation based on interval forecasts
Charles, Amélie, (2021)
- More ...