Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/228127 
Erscheinungsjahr: 
2019
Schriftenreihe/Nr.: 
LEM Working Paper Series No. 2019/29
Verlag: 
Scuola Superiore Sant'Anna, Laboratory of Economics and Management (LEM), Pisa
Zusammenfassung: 
In this paper we investigate whether long run time series of income per capita are better described by a trend-stationary model with few structural changes or by unit root processes in which permanent stochastic shocks are responsible for the observed growth discontinuities. To this purpose, we develop a methodology to test the null of a generic I(1) process versus a set of stationary alternatives with structural breaks. Differently from other tests in the literature, the number of structural breaks under the alternative hypothesis is treated as an unknown (up to some ex ante determined maximum). Critical values are obtained via Monte Carlo simulations and finite sample size and power properties of the test are reported. An application is provided for a group of advanced and developing countries in the Maddison dataset, also using bootstrapped critical values. As compared to previous findings in the literature, less evidence is found against the unit root hypothesis. Failures to reject the I(1) null are particularly strong for a set of developing countries considered. Finally, even less rejections are found when relaxing the assumption of Gaussian shocks.
Schlagwörter: 
Long-run growth
structural breaks
unit roots
JEL: 
O47
C22
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
1.14 MB





Publikationen in EconStor sind urheberrechtlich geschützt.