Are business cycles stationary fluctuations around a deterministic trend? empirical evidence from 79 developing countries

Narayan, Paresh and Narayan, Seema 2010, Are business cycles stationary fluctuations around a deterministic trend? empirical evidence from 79 developing countries, International review of applied economics, vol. 24, no. 6, pp. 649-664.

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Title Are business cycles stationary fluctuations around a deterministic trend? empirical evidence from 79 developing countries
Author(s) Narayan, Paresh
Narayan, Seema
Journal name International review of applied economics
Volume number 24
Issue number 6
Start page 649
End page 664
Total pages 16
Publisher Routledge
Place of publication Oxon, England
Publication date 2010-11
ISSN 0269-2171
1465-3486
Keyword(s) structural break unit root test
business cycles
developing countries
Summary There is a large literature that tests the univariate time series properties of the real output series following the seminal work of Nelson and Plosser (1982). Whether or not real output is characterized by a unit root process has important implications. A unit root in real output, for instance, is inconsistent with the notion that business cycles are stationary fluctuations around a deterministic trend. In this paper, we investigate the univariate time series properties of real output for 79 developing countries using the conventional augmented Dickey and Fuller (1979) unit root test, the Zivot and Andrews’ (1992) one structural break unit root test, and the Lumsdaine and Papell (1997) two structural breaks unit root test. Our main finding is that, for 40 countries, real output is stationary around a trend. This indicates that business cycles are stationary fluctuations around a deterministic trend for only 51% of the developing countries in our sample.
Language eng
Field of Research 140305 Time-Series Analysis
Socio Economic Objective 910103 Economic Growth
HERDC Research category C1 Refereed article in a scholarly journal
HERDC collection year 2010
Copyright notice ©2010, Taylor & Francis
Persistent URL http://hdl.handle.net/10536/DRO/DU:30032705

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