Template-Type: ReDIF-Paper 1.0
Author-Name: Juan Carlos Cuestas
Author-Name: Dean Garratt
Title: Is real GDP per capita a stationary process? Smooth transitions, nonlinear trends and unit root testing
Abstract: The aim of this paper is to provide additional evidence about the order of integration of constant price GDP per capita in a selection of countries. It does so by
taking into account the possibility of non-linear deterministic trends and of asymmetric adjustment towards equilibrium. We find evidence of a global stationary
ESTAR process around a nonlinear deterministic trend in almost half of the selected countries. These results show that nonlinearities affect real GDP series. By
neglecting them, one can draw misleading conclusions from unit root tests. Specifically, the paper questions the so-called stylised fact of a near unit root which has
so influenced macroeconomic thought over the past two decades. 
File-URL: http://www.ntu.ac.uk/__data/assets/pdf_file/0015/310209/Is-real-GDP-per-capita-a-stationary-process.pdf
File-Format: Application/pdf
File-Function: First version, 2008
Creation-Date: 2008-07
Classification-JEL: C22, E31, E32
Keywords: Real GDP per capita, Unit root tests, Persistence, Nonlinearities, Smooth transitions
Handle: RePEc:nbs:wpaper:2008/12