Temporary and permanent shocks in GDP for France, the United Kingdom and the United States;Chocs temporaires et permanents dans le PIB de la France, du Royaume-Uni et des États-Unis

Revue d'Economie Politique

Volumn 116, Issue 1, 2006, Pages 65-78

  Darné, Olivier ^a   Diebolt, Claude ^b,c  

^a BANQUE DE FRANCE   (France)

^b UNIVERSITÉ LOUIS PASTEUR   (France)

^c HUMBOLDT UNIVERSITY   (Germany)

Author keywords

Cliometrics; GDP; Outliers; Temporary and permanent shocks; Unit root

Indexed keywords

EID: 33846104629     PISSN: 03732630     EISSN: None     Source Type: Journal    
DOI: 10.3917/redp.161.0065     Document Type: Article

References (41)

1. BADILLO R., BELAIRE-FRANCH J. et CONTRERAS D. [2002], «Spurious rejection of the stationarity hypothesis in the presence of a break point », Applied Economics, 34, p. 1917-1923.
2. BALKE N. S. et FOMBY T. B. [1991], « Shifting trends, segmented trends, and infrequent permanent shocks », Journal of Monetary Economics, 28, p. 61-85.
3. BALKE N. S. et FOMBY T B. [1994], « Large shocks, small shocks, and economic fluctuations: Outliers in macroeconomic time series », Journal of Applied Econometrics, 9, p. 181-200.
4. BANERJEE A., LUMSDAINE R. L. et STOCK J. H. [1992], « Recursive and sequential tests of the unit-root and trend-break hypotheses: theory and international evidence », Journal of Business and Economic Statistics, 10, p. 271-287.
5. BOX G. E. P. et TIAO G. C. [1975], « Intervention analysis with applications to economic and environmental problems », Journal of the American Statistical Association, 70, p. 70-79.
6. BRADLEY M. D. et JANSEN D. W. [1995], « Unit roots and infrequent large shocks: New international evidence on output growth », Journal of Money, Credit, and Banking, 27, p. 876-893.
7. CHANG I., TIAO G. C. et CHEN C. [1988], « Estimation of time series parameters in the presence of outliers », Technometrics, 30, p. 193-204.
8. CHEN C. et LIU L. M. (1993], « Joint estimation of model parameters and outlier effects in time series », Journal of the American Statistical Association, 88, p. 284-297.
9. DARNÉ O. et DIEBOLT C. [2004], « Unit roots and infrequent large shocks: New international evidence on output », Journal of Monetary Economics, 51, p. 1449-1465.
10. DICKEY D. A. et FULLER W. A. [1981], « Likelihood ratio statistics for autoregressive time series with unit root », Econometrica, 49, p. 1057-1072.
11. ELLIOTT G., ROTHENBERG T. J. et STOCK J. H. [1996], « Efficient tests for an autoregressive unit root », Econometrica, 64, p. 813-836.
12. FRANSES P. H. et HALDRUP N. [1994], « The effects of additive outliers on tests for unit roots and cointegration », Journal of Business and Economic Statistics, 12, p, 471-478.
13. FRIEDMAN M. [1968], « The role of monetary policy », American Economic Review, 58, p. 1-17.
14. GÓMEZ V. et MARAVALL A. [1997], « Programs TRAMO and SEATS: Instructions for the user (Beta version: June 1997) », Working paper No 97001, Ministerio de Economía y Hacienda, Dirección General de Análisis y Programación.
15. HAIRAULT J-O. [1995], Les Fluctuations Conjoncturelles, Economica, Paris.
16. HENIN P-Y. [1989a], « Une macroéconomie sans monnaie pour les années 90?: revue critique des travaux théoriques et empiriques sur les cycles réels », Revue d'Économie Politique, 4, p. 531-596.
17. HENIN P-Y. [1989b], « Sur la non-stationnarité des séries macroéconomiques:tendances, cycles et persistance », Revue d'Économie Politique, 5, p. 661-691.
18. KIM T-H., LEYBOURNE S. J. et NEWBOLD P. [2000], « Spurious rejections by Perron tests in the presence of a break », Oxford Bulletin of Economics and Statistics, 62, p, 433-444.
19. KYDLAND F. E. et PRESCOTT E. C. [1982], « Time to build and aggregate fluctuations », Econometrica, 50, p. 1345-1370.
20. KWIATKOWSKI D., PHILLIPS P., SCHMIDT P. et SHIN Y. [1992], « Testing the null hypothesis of stationary against the alternative of a unit root: how sure are we that economic time series have a unit root? », Journal of Econometrics, 54, p. 159-178.
21. LEE J., HUANG C.-J. et SHIN Y. [1997], « On stationary tests in the presence of structural breaks », Economics Letters, 55, p. 165-172.
22. LEE J. et STRAZICICH M. C. [2001], « Break point estimation and spurious rejections with endogenous unit root tests », Oxford Bulletin of Economics and Statistics, 63, p. 535-558.
23. LEE J. et STRAZICICH M. C. [2003], « Minimum lagrange multiplier unit root test with two structural breaks) », Review of Economics and Statistics, 85, p. 1082-1089.
24. LEYBOURNE S. J., MILLS T. C. et NEWBOLD P. [1998], « Spurious rejections by Dickey-Fuller tests in the presence of a break under the null », Journal of Econometrics, 87, p. 191-203.
25. LONG J. B. et PLOSSER C. I. [1983], « Real business cycle », Journal of Political Economy, 91, p. 39-69.
26. LUCAS R. E. [1972], « Expectations and neutrality of money », Journal of Economic Theory, 4, p. 103-124.
27. LUCAS R. E. [1974], « Some international evidence on output inflation tradeöffs », American Economic Review, 63, p. 326-334.
28. LUMSDAINE R. et PAPELL D. [1997], « Multiple trend breaks and the unit-root hypothesis », Review of Economics and Statistics, 79, p. 212-218.
29. MADDALA G. S. et KIM I.-M. [2000], Unit Roots, Cointegration and Structural Change, Cambridge University Press, Cambridge.
30. MONTANES A. et REYES M. [1998], « Effect of a shift in the trend function on Dickey-Fuller unit root tests », Econometric Theory, 14, p. 355-363.
31. MURRAY C. J. et NELSON C. R. [2000], « The uncertain trend in U.S. GDP », Journal of Monetary Economics, 46, p. 79-95.
32. NELSON C. R. et PLOSSER C. I. [1982], « Trends and random walks in macroeconomic time series », Journal of Monetary Economics, 10, p. 139-162.
33. NG S. et PERRON P. [2001], « Lag length selection and the construction of unit root tests with good size and power », Econometrica, 69, p. 1519-1554.
34. PERRON P. [1989], « The great crash, the oil price shock, and the unit root hypothesis », Econometrica, 57, p. 1361-1401.
35. PERRON P. [1992], « Trend, unit root, and structural change: A multi-country study with historical data », American Statistical Association: Proceedings of the Business and Economics Statistics Section, p. 144-149.
36. PERRON P. [1997], « Further evidence on breaking trend functions in macroeconomic variables », Journal of Econometrics, 80, p. 355-385.
37. RAPPOPORT P. et REICHLIN L. [1989], « Segmented trends and non-stationary time series », Economic Journal, 99, p. 168-177.
38. SEN A. [2003], « On unit-root tests when the alternative is a trend-break stationary process », Journal of Business and Economic Statistics, 21, p. 174-184.
39. SHIN D. W., SARKAR S. et LEE J. H. [1996], « Unit root tests for time series with outliers », Statistics and Probability Letters, 30, p. 189-197.
40. TOLVI J. [2001], « Outliers in eleven finnish macroeconomic time series », Finnish Economic Papers, 14, p. 14-32.
41. ZIVOT E. et ANDREWS D. W. K. [1992], « Further evidence on the great crash, the oil price shock and the unit root hypothesis », Journal of Business and Economic Statistics, 10, p. 251-270.