NDLI: Common Trends and Common Cycles in Per Capita GDP: The Case of the G7 Countries, 1870

Content Provider	Springer Nature Link
Author	Narayan, Paresh Kumar
Copyright Year	2008
Abstract	In this paper we analyze per capita incomes of the G7 countries using the common cycles test developed by Vahid and Engle (Journal of Applied Econometrics, 8:341–360, 1993) and extended by Hecq et al. (Oxford Bulletin of Economics and Statistics, 62:511–532, 2000; Econometric Reviews, 21:273–307, 2002) and the common trend test developed by Johansen (Journal of Economic Dynamics and Control, 12:231–254, 1988). Our main contribution is that we impose the common cycle and common trend restrictions in decomposing the innovations into permanent and transitory components. Our main finding is permanent shocks explain the bulk of the variations in incomes for the G7 countries over short time horizons, and is in sharp contrast to the bulk of the recent literature. We attribute this to the greater forecasting accuracy achieved, which we later confirm through performing a post sample forecasting exercise, from the variance decomposition analysis.
Starting Page	280
Ending Page	290
Page Count	11
File Format	PDF
ISSN	10830898
Journal	International Advances in Economic Research
Volume Number	14
Issue Number	3
e-ISSN	1573966X
Language	English
Publisher	Springer US
Publisher Date	2008-08-05
Publisher Place	Boston
Access Restriction	One Nation One Subscription (ONOS)
Subject Keyword	Econometric and Statistical Methods and Methodology: General Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes Prices, Business Fluctuations, and Cycles: General Common trends Common cycles Permanent and transitory components Economic Growth Microeconomics International Economics Macroeconomics/Monetary Economics Economics general
Content Type	Text
Resource Type	Article
Subject	Economics and Econometrics

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