A Multicountry Characterization of the Nonstationarity of Aggregate Output

Roger C. Kormendi · Philip G. Meguire

92 citations0/0 files storedJournal of money credit and banking

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Monetary Policy and Economic Impact Economic Growth and Productivity Complex Systems and Time Series Analysis

Abstract

The authors compute the scaled varlogram (the variances of kth differences scaled by the variance of first differences) of the log of annual per capita real aggregate output (GDP or GNP), as measured by (1) the long series for the United States and United Kingdom; (2) Angus Maddison's (1982) long series for twelve countries; and (3) the postwar IFS data for thirty-two countries. Simulations show that the scaled varlogram of real output is nearly always more consistent with the data being generated by parsimonious difference stationary than trend stationary univariate processes. In fact, the data reveal some "excess nonstationarity" relative to parsimonious ARIMA models. The power of the scaled varlogram to discriminate between trend stationary and difference stationary processes is somewhat greater than that of a Dickey-Fuller type F test. Copyright 1990 by Ohio State University Press.

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References

1987Co-Integration and Error Correction: Representation, Estimation, and Testing 1986Increasing Returns and Long-Run Growth 1982Trends and random walks in macroeconmic time series 1988Permanent and Temporary Components of Stock Prices 1986Stock return variances 1986Understanding spurious regressions in econometrics 1987Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors 1988How Big Is the Random Walk in GNP?

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1996DETERMINISTIC, STOCHASTIC, AND SEGMENTED TRENDS IN AGGREGATE OUTPUT: A CROSS-COUNTRY ANALYSIS 1992International evidence on persistence in output in the presence of an episodic change 1994Mean reversion in annual earnings and its implications for security valuation 1994Variance-Ratio Tests: Small-Sample Properties With an Application to International Output Data 2006The KPSS test with two structural breaks 2003International evidence on output fluctuation and shock persistence

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