Transition Studies Review

, Volume 20, Issue 2, pp 149–157 | Cite as

Are Shocks to Real Output Permanent or Transitory? Evidence from a Panel of “Asean” Per Capita GDP Data

World Transition Economy Research

Abstract

Since economic theory provides reasons for nonlinearity in economic variables due to frictions/distortions in the economy, the use of linear unit root tests to examine the nonstationary properties of per-capita GDP (PCGDP) may provide misleading results. With this background we have analyzed the mean reversion properties of per capita real GDP of Association of South East Asian Nations (ASEAN) countries (for the period 1950–2010) using the recently developed Ucar and Omaga (Econ Lett 104:5–8, 2009) nonlinear panel unit root test. The results indicate that the PCGDP of ASEAN countries are nonlinear process and are stationary.

Keywords

Mean reversion Panel unit root ASEAN countries Nonlinearity Heterogeneous panel 

JEL Classification

C 01 C 23 O 01 O 04 

References

  1. Aguirre A, Henriques Borges Ferreira A (2001) The (in) existence of unit root in Brazilian gross domestic product. Appl Econ Lett 8:645–647CrossRefGoogle Scholar
  2. Baltagi B (2005) Econometric analysis of panel data. Wiley, OxfordGoogle Scholar
  3. Ben-David D, Papell D (1998) Slowdowns and meltdowns: post-war growth evidence from 74 countries. Rev Econ Stat 80:561–571CrossRefGoogle Scholar
  4. Breitung J, Pesaran MH (2008) Unit roots and cointegration in panels. In: Matyas L, Sevestre P (eds) The econometrics of panel data. Kluwer Academic Publishers, SuffolkGoogle Scholar
  5. Campbell JY, Mankiw GN (1987) Are output fluctuations transitory? Quart J Econ 10:57–80Google Scholar
  6. Chang HL, Su CW (2009) Stationarity in per capita real GDP of European countries: evidence from non-linear panel unit-root tests. Int J Econ 3:95–101Google Scholar
  7. Chang HL, Su CW, Zhu MN (2010) Is Middle East countries per capita real GDP stationary? Evidence from non-linear panel unit-root tests. Middle East Financ Econ 6:15–19Google Scholar
  8. Cheung YW, Chinn D (1996) Deterministic, stochastic and segmented trends in aggregate output: a cross-country analysis. Oxf Econ Pap 48:134–162CrossRefGoogle Scholar
  9. Christopoulos DK (2006) Does a non-linear mean reverting process characterize real GDP movements? Empir Econ 31:601–611CrossRefGoogle Scholar
  10. Cogley T (1990) International evidence on the size of the random walk in output. J Political Econ 96:501–518Google Scholar
  11. Cribari Neto F (1996) On time series econometrics. Q Rev Econ Financ 36:37–60CrossRefGoogle Scholar
  12. Duck NW (1996) UK evidence on breaking trend functions. Oxf Econ Pap 44:426–439Google Scholar
  13. Evans GW (1989) Output and unemployment dynamics in the US. J Appl Econ 4:213–237CrossRefGoogle Scholar
  14. Fleissig AR, Strauss J (1999) Is OECD real per capita GDP trend or difference stationary? Evidence from panel unit root tests. J Macroecon 21:673–689CrossRefGoogle Scholar
  15. Im KS, Pesaran MH, Shin Y (2003) Testing for unit roots in heterogeneous panels. J Econom 115:53–74CrossRefGoogle Scholar
  16. Kapetanios G, Shin Y, Snell A (2003) Testing for a unit root in the non-linear star framework. J Econom 112:359–379CrossRefGoogle Scholar
  17. Kormendi R, Meguire P (1990) A multi country characterization of the non-stationarity of aggregate output. J Money Credit Bank 22:77–93CrossRefGoogle Scholar
  18. Li XM (2000) The great leap forward, economic reforms and the unit root hypothesis: testing for breaking trend functions in China’s GDP data. J Comp Econ 28:814–827CrossRefGoogle Scholar
  19. Libanio GA (2005) Unit roots in macroeconomic time series: theory, implications and evidence. Nova Economica Belo Horizonte 15:145–176CrossRefGoogle Scholar
  20. Mishra V, Sharma S, Smyth R (2009) Are fluctuations in energy consumption per capita transitory? Evidence from a panel of Pacific Island countries. Energy Policy 37:2318–2326Google Scholar
  21. Murthy VNR, Anoruo E (2009) Are per capita real GDP series in African countries non-stationary or non-linear? What does empirical evidence reveal? Econ Bull 29:2492–2504Google Scholar
  22. Narayan PK (2004) Are output fluctuations transitory? New evidence from 24 Chinese provinces. Pac Econ Rev 9:327–336Google Scholar
  23. Narayan PK (2008a) Evidence of panel stationarity from Chinese provincial and regional income. China Econ Rev 19:274–286CrossRefGoogle Scholar
  24. Narayan PK (2008b) Is Asian per capita GDP panel stationary? Empir Econ 34:439–449CrossRefGoogle Scholar
  25. Nelson CR, Murray CJ (2000) The uncertain trend in US GDP. J Monet Econ 10:139–162CrossRefGoogle Scholar
  26. Nelson C, Plosser C (1982) Trends and random walks in macroeconomic time series. J Monet Econ 10:139–162CrossRefGoogle Scholar
  27. Ohara HI (1999) A unit root test with multiple trend breaks: a theory and an application to the US and Japanese macroeconomic time series. Jpn Econ Rev 50:266–290CrossRefGoogle Scholar
  28. Perron P, Phillips PCB (1987) Does GNP have a unit root? A reevaluation. Econ Lett 23:139–145CrossRefGoogle Scholar
  29. Rapach DE (2002) Are real GDP levels nonstationary? Evidence from panel data tests. South Econ J 68:473–495CrossRefGoogle Scholar
  30. Smyth R, Inder B (2004) Is Chinese provincial real GDP per capita non-stationary? Evidence from multiple trend break unit root tests. China Econ Rev 15:1–24CrossRefGoogle Scholar
  31. Stocks JH, Watson MW (1986) Does GNP have a unit root? Econ Lett 22:147–151CrossRefGoogle Scholar
  32. Ucar N, Omaga T (2009) Testing for unit root in nonlinear heterogeneous panels. Econ Lett 104:5–8CrossRefGoogle Scholar
  33. Zhang NJ, Lii P, Huang YS, Yi-Sung SuCW (2007) Is per capita real GDP stationary in China? Evidence based on a panel SURADF approach. Econ Bull 3:1–12Google Scholar

Copyright information

© CEEUN 2013

Authors and Affiliations

  1. 1.IBS Business SchoolICFAI UniversityDehradunIndia
  2. 2.ICFAI UniversityKamalghatIndia

Personalised recommendations