Does real U.K. GDP have a unit root? Evidence from a multi-century perspective

Show simple item record Canarella, Giorgio Gupta, Rangan Miller, Stephen M. Omay, Tolga 2019-09-27T13:03:39Z 2020
dc.description.abstract We employ linear and nonlinear unit-root tests to examine the stationarity of five multi-century historical U.K. series of real output compiled by the Bank of England. Three series span 1270 to 2016 and two series span 1700 to 2016. These datasets represent the longest span of historical real output data available and, thus, provide the environment for which unit-root tests are most powerful. A key feature of our test is its simultaneous allowance for two types of nonlinearity: time-dependent (structural breaks) nonlinearity and state-dependent (asymmetric adjustment) nonlinearity. The key finding of the test, contrary to what other more popular nonlinear unit-root tests suggest, provides strong evidence that the main structure of the five series is a stationary process characterized by an asymmetric nonlinear adjustment and a permanent break affecting both the intercept and the trend. A major policy implication of this finding is fiscal and/or monetary stabilization policies have only temporary effects on the output levels of the United Kingdom. en_ZA
dc.description.department Economics en_ZA
dc.description.embargo 2021-03-03
dc.description.librarian hj2019 en_ZA
dc.description.uri en_ZA
dc.identifier.citation Giorgio Canarella, Rangan Gupta, Stephen M. Miller & Tolga Omay (2020): Does real U.K. GDP have a unit root? Evidence from a multi-century perspective, Applied Economics, 52(10): 1070-1087, DOI: 10.1080/00036846.2019.1655138. en_ZA
dc.identifier.issn 0003-6846 (print)
dc.identifier.issn 1466-4283 (online)
dc.identifier.other 10.1080/00036846.2019.1655138
dc.language.iso en en_ZA
dc.publisher Routledge en_ZA
dc.rights © 2019 Informa UK Limited, trading as Taylor & Francis Group. This is an electronic version of an article published in Applied Economics, vol. 52, no. 10, pp. 1070-1087, 2020. doi : 10.1080/00036846.2019.1655138. Applied Economics is available online at : http://www.tandfonline.comloi/raec20. en_ZA
dc.subject Unit root en_ZA
dc.subject Time-dependence en_ZA
dc.subject Nonlinearity en_ZA
dc.subject State-dependence en_ZA
dc.subject Fourier function en_ZA
dc.title Does real U.K. GDP have a unit root? Evidence from a multi-century perspective en_ZA
dc.type Postprint Article en_ZA

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