Unit roots and infrequent large shocks: new international evidence on output

• 成果类型: Article
• 署名作者: Darné, O; Diebolt, C
• 署名单位: Institut Agro; Montpellier SupAgro; Centre National de la Recherche Scientifique (CNRS); Universite de Montpellier; Humboldt University of Berlin
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2003.12.007
• 发表日期: 2004
• 页码: 1449-1465
• 关键词: infrequent large shocks; Unit roots; cliometrics; GDP per capita; outliers

摘要

The nature and magnitude of the economic shocks that have affected the per capita GDP of 16 OECD countries are analyzed over a long period using the outlier method. Strong proof of infrequent large permanent and transitory shocks were found, essentially resulting from the two major wars in the twentieth century, the recession in the 1920s, the Great Depression, among others. We also examine the nature of the output trend by combining different tests of non-stationarity on different GDP series corrected by the outliers detected. It is shown that the per capita GDP series cannot reject the unit root hypothesis in 13 of the 16 countries examined. No conclusion could be drawn for the other countries because the test results were contradictory. (C) 2004 Elsevier B.V. All rights reserved.