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

dc.contributor.authorCanarella, Giorgio
dc.contributor.authorGupta, Rangan
dc.contributor.authorMiller, Stephen M.
dc.contributor.authorOmay, Tolga
dc.date.accessioned2019-09-27T13:03:39Z
dc.date.issued2020
dc.description.abstractWe 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.departmentEconomicsen_ZA
dc.description.embargo2021-03-03
dc.description.librarianhj2019en_ZA
dc.description.urihttp://www.tandfonline.com/loi/raec20en_ZA
dc.identifier.citationGiorgio 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.issn0003-6846 (print)
dc.identifier.issn1466-4283 (online)
dc.identifier.other10.1080/00036846.2019.1655138
dc.identifier.urihttp://hdl.handle.net/2263/71480
dc.language.isoenen_ZA
dc.publisherRoutledgeen_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.subjectUnit rooten_ZA
dc.subjectTime-dependenceen_ZA
dc.subjectNonlinearityen_ZA
dc.subjectState-dependenceen_ZA
dc.subjectFourier functionen_ZA
dc.titleDoes real U.K. GDP have a unit root? Evidence from a multi-century perspectiveen_ZA
dc.typePostprint Articleen_ZA

Files

Original bundle

Now showing 1 - 1 of 1
Loading...
Thumbnail Image
Name:
Canarella_Does_2020.pdf
Size:
1.38 MB
Format:
Adobe Portable Document Format
Description:
Postprint Article

License bundle

Now showing 1 - 1 of 1
Loading...
Thumbnail Image
Name:
license.txt
Size:
1.75 KB
Format:
Item-specific license agreed upon to submission
Description: