dc.contributor.author |
Balcilar, Mehmet
|
|
dc.contributor.author |
Gupta, Rangan
|
|
dc.contributor.author |
Jooste, Charl
|
|
dc.contributor.author |
Ranjbar, Omid
|
|
dc.date.accessioned |
2017-05-15T10:45:26Z |
|
dc.date.available |
2017-05-15T10:45:26Z |
|
dc.date.issued |
2016-02 |
|
dc.description.abstract |
We test for a unit root in de-trended GDP in a two-state Markov switching specification
using a modified Augmented Dickey-Fuller test. Our results show that a first difference GDP
specification is preferred over the de-trended specification. In addition, the null of differencestationary
GDP cannot be rejected. By implication, shocks to GDP are permanent which
validates specifying trend GDP with a stochastic component – something that is inherently
assumed in a number of research papers that estimate potential GDP growth and that model
GDP in general equilibrium specifications. |
en_ZA |
dc.description.department |
Economics |
en_ZA |
dc.description.librarian |
am2017 |
en_ZA |
dc.description.uri |
http://www.iei1946.it/en/rivista.php |
en_ZA |
dc.description.uri |
http://www.ge.camcom.gov.it/IT/Page/t01/view_html?idp=555 |
en_ZA |
dc.identifier.citation |
Balcilar, M, Rangan, G, Jooste, C & Ranjbar, O 2016, 'Characterising the South Africa business cycle : is GDP difference-stationary or trend-stationary in a Markov-switching setup?', Economia Internazionale/International Economics, vol. 69, no. 1, pp. 33-44. |
en_ZA |
dc.identifier.issn |
0012-981X |
|
dc.identifier.uri |
http://hdl.handle.net/2263/60465 |
|
dc.language.iso |
en |
en_ZA |
dc.publisher |
Chamber of Commerce of Genova |
en_ZA |
dc.rights |
© 2016. Camera di Commercio di Genova |
en_ZA |
dc.subject |
Markov-switching |
en_ZA |
dc.subject |
Difference-stationary |
en_ZA |
dc.subject |
Trend-stationary |
en_ZA |
dc.subject |
Gross domestic product (GDP) |
en_ZA |
dc.title |
Characterising the South Africa business cycle : is GDP difference-stationary or trend-stationary in a Markov-switching setup? |
en_ZA |
dc.type |
Article |
en_ZA |