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

References

• Bahmani-Oskooee, M., A. M. Kutan, and S. Zhou. 2007. “Testing PPP in the Nonlinear STAR Framework.” Economics Letters 94: 104–110.
   Web of Science ®Google Scholar
• Barro, R. 1976. “Rational Expectations and the Role of Monetary Policy.” Journal of Monetary Economics 2: 1–32.
   Web of Science ®Google Scholar
• Becker, R., W. Enders, and J. Lee. 2004. “A General Test for Time Dependence in Parameters.” Journal of Applied Econometrics 19: 899–906.
   Web of Science ®Google Scholar
• Becker, R., W. Enders, and J. Lee. 2006. “A Stationarity Test in the Presence of an Unknown Number of Smooth Breaks.” Journal of Time Series Analysis 27: 381–409.
   Web of Science ®Google Scholar
• Beechey, M., and P. Österholm. 2008. “Revisiting the Uncertain Unit Root in GDP and CPI: Testing for Non-linear Trend Reversion.” Economics Letters 100: 221–223.
   Web of Science ®Google Scholar
• Ben-David, D., and D. H. Papell. 1995. “The Great Wars, the Great Crash and Steady Growth: Some New Evidence about Old Stylized Fact.” Journal of Monetary Economics 36: 453–475.
   Web of Science ®Google Scholar
• Ben-David, D., R. L. Lumsdaine, and D. H. Papell. 2003. “Unit Roots, Postwar Slowdowns and Long-run Growth: Evidence from Two Structural Breaks.” Empirical Economics 28: 303–319.
   Google Scholar
• Bhargava, A. 1986. “On the Theory of Testing for Unit Roots in Observed Time Series.” Review of Economic Studies 53: 369–384.
   Web of Science ®Google Scholar
• Blanchard, O. J. 1981. “What Is Left of the Multiplier Accelerator?” American Economic Review 71: 150–154.
   Web of Science ®Google Scholar
• Campbell, J. Y., and N. G. Mankiw. 1987. “Are Output Fluctuations Transitory?” Quarterly Journal of Economics 102: 857–880.
   Web of Science ®Google Scholar
• Chen, S.-W., and Z. Xie. 2015. Testing for current account sustainability under assumptions of smooth break and nonlinearity. International Review of Economics and Finance 38: 142–156.
   Web of Science ®Google Scholar
• Cheung, Y. W., and D. Chinn. 1996. “Deterministic, Stochastic and Segmented Trends in Aggregate Output: A Cross-country Analysis.” Oxford Economic Papers 48: 134–162.
   Web of Science ®Google Scholar
• Christopoulos, D., and M. A. Leon-Ledesma. 2010. “Smooth Breaks and Non-linear Mean Reversion: Post-Bretton-Woods Real Exchange Rates.” Journal of International Money and Finance 20: 1076–1093.
   Google Scholar
• Christopoulos, D. K. 2006. “Does a Non-linear Mean Reverting Process Characterize Real GDP Movements.” Empirical Economics 31: 601–611.
   Web of Science ®Google Scholar
• Cogley, T. 1990. “International Evidence on the Size of the Random Walk in Output.” Journal of Political Economy 96: 501–518.
   Web of Science ®Google Scholar
• Cook, S. 2008. “More Uncertainty: on the Trending Nature of Real GDP in the US and UK.” Applied Economics Letters 15: 667–670.
   Web of Science ®Google Scholar
• Çorakcı, A., F. Emirmahmutoğlu, and T. Omay. 2017. “ESTR Type Smooth Break Unit Root Test.” Economics Bulletin 37: 1541–1548.
   Google Scholar
• Dickey, D. A., and W. A. Fuller. 1979. “Distribution of the Estimators for Autoregressive Time Series with a Unit Root.” Journal of the American Statistical Association 74: 427–431.
   Web of Science ®Google Scholar
• Elliott, G., T. J. Rothenberg, and J. H. Stock. 1996. “Efficient Tests for an Autoregressive Unit Root.” Econometrica 64: 813–836.
   Web of Science ®Google Scholar
• Enders, W., and C. W. J. Granger. 1998. “Unit-root Tests and Asymmetric Adjustment with an Example Using the Term Structure of Interest Rates.” Journal of Business and Economic Statistics 16: 304–311.
   Web of Science ®Google Scholar
• Enders, W., and J. Lee. 2012. “A Unit Root Test Using A Fourier Series to Approximate Smooth Breaks.” Oxford Bulletin of Economics and Statistics 74: 574–599.
   Web of Science ®Google Scholar
• Evans, G. W. 1989. “Output and Unemployment Dynamics in the United States: 1950–1985.” Journal of Applied Econometrics 4: 213–237.
   Web of Science ®Google Scholar
• Fleissig, A. R., and J. Strauss. 1999. “Is OECD Real per Capita GDP Trend or Difference Stationary? Evidence from Panel Unit Root Test.” Journal of Macroeconomics 21: 673–690.
   Web of Science ®Google Scholar
• Habimana, O., K. Månsson, and P. Sjölander. 2018. “Testing for Nonlinear Unit Roots in the Presence of a Structural Break with an Application to the Qualified PPP during the 1997 Asian Financial Crisis.” International Journal of Financial Economics 23: 221–232.
   Web of Science ®Google Scholar
• Kapetanios, G., Y. Shin, and A. Snell. 2003. “Testing for a Unit Root in the Nonlinear STAR Framework.” Journal of Econometrics 112: 359–379.
   Web of Science ®Google Scholar
• Kormendi, R. C., and P. Meguire. 1990. “A Multicountry Characterization of the Nonstationarity of Aggregate Output.” Journal of Money, Credit and Banking 22: 77–93.
   Web of Science ®Google Scholar
• Kydland, F., and E. Prescott. 1980. “A Competitive Theory of Fluctuations and the Feasibility and Desirability of Stabilization Policy.” In Rational Expectations and Economic Policy, edited by S. Fisher, 169–198. Chicago: University of Chicago Press.
   Google Scholar
• Lee, J., and M. Strazicich. 2003. “Minimum LM Unit Root Test with Two Structural Breaks.” Review of Economics and Statistics 85: 1082–1089.
   Web of Science ®Google Scholar
• Leybourne, S., P. Newbold, and D. Vougas. 1998. “Unit Roots and Smooth Transitions.” Journal of Time Series Analysis 19: 83–97.
   Google Scholar
• Lumsdaine, R., and D. Papell. 1997. “Multiple Trend Breaks and the Unit Root Hypothesis.” Review of Economics and Statistics 79: 212–218.
   Web of Science ®Google Scholar
• Luukkonen, R., P. Saikkonen, and T. Terasvirta. 1988. “Testing Linearity against Smooth Transition Autoregressive Models.” Biometrika 70: 491–499.
   Google Scholar
• Murray, C. J., and C. R. Nelson. 2000. “The Uncertain Trend in U.S. GDP.” Journal of Monetary Economics 46: 79–95.
   Web of Science ®Google Scholar
• Nelson, C., and C. Plosser. 1982. “Trends and Random Walks in Macroeconomic Time Series.” Journal of Monetary Economics 10: 139–162.
   Web of Science ®Google Scholar
• Ng, S., and P. Perron. 2001. “Lag Length Selection and the Construction of Unit Root Tests with Good Size and Power.” Econometrica 69: 1519–1554.
   Web of Science ®Google Scholar
• Omay, T. 2015. “Fractional Frequency Flexible Fourier Form to Approximate Smooth Breaks in Unit Root Testing.” Economics Letters 134: 123–126.
   Web of Science ®Google Scholar
• Omay, T., and D. Yıldırım. 2014. “Nonlinearity and Smooth Breaks in Unit Root Testing.” Econometrics Letters 1: 2–9.
   Google Scholar
• Omay, T and F. Emirmahmutoğlu. 2017. The comparison of power and optimization algorithms on unit root testing with smooth transition. Computational Economics, 49: 623–651.
   Web of Science ®Google Scholar
• Omay, T., F. Emirmahmutoglu, and M. Hasanov. 2018. “Structural Break, Nonlinearity and Asymmetry: A Re-examination of PPP Proposition.” Applied Economics 50: 1289–1308.
   Web of Science ®Google Scholar
• Papell, D. H., and R. Prodan. 2004. “The Uncertain Unit Root in US Real GDP: Evidence with Restricted and Unrestricted Structural Change.” Journal of Money Credit and Banking 36: 423–427.
   Web of Science ®Google Scholar
• Perron, P. 1989. “The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis.” Econometrica 57: 1361–1401.
   Web of Science ®Google Scholar
• Perron, P., and P. C. B. Phillips. 1987. “Does GNP Have A Unit Root? A Reevaluation.” Economics Letters 23: 139–145.
   Web of Science ®Google Scholar
• Phillips, P. C. B. 1987. “Time Series Regression with Unit Roots.” Econometrica 55: 277–302.
   Web of Science ®Google Scholar
• Phillips, P. C. B., and P. Perron. 1988. “Testing for a Unit Root in Time Series Regression.” Biometrika 75: 335–346.
   Web of Science ®Google Scholar
• Ranjbar, O., T. Chang, Z. Elmi, and C.-C. Lee. 2018. A new unit root test against asymmetric ESTAR nonlinearity with smooth break. Iranian Economic Review 22: 51–62.
   Google Scholar
• Rapach, D. E. 2002. “Are Real GDP Levels Nonstationary? Evidence from Panel Data Tests.” Southern Economic Journal 68: 473–495.
   Web of Science ®Google Scholar
• Rodrigues, P. M. M., and A. M. R. Taylor. 2012. “The Flexible Fourier Form and Local GLS De-trending Unit Root Tests.” Oxford Bulletin of Economics and Statistics 74: 736–759.
   Web of Science ®Google Scholar
• Shelley, G. L., and F. H. Wallace. 2011. “Further Evidence regarding Nonlinear Trend Reversion of Real GDP and the CPI.” Economics Letters 112: 56–59.
   Web of Science ®Google Scholar
• Sollis, R. 2009. “A Simple Unit Root Test against Asymmetric STAR Nonlinearity with an Application to Real Exchange Rates in Nordic Countries.” Economic Modelling 26: 118–125.
   Web of Science ®Google Scholar
• Stock, J. H., and M. W. Watson. 1999. “Business Cycle Fluctuations in U.S. Macroeconomic Time Series.” In Handbook of Macroeconomics, edited by J. B. Taylor and M. Woodford, 3–64. Vol. 1A. Amsterdam: Elsevier.
   Google Scholar
• Teräsvirta, T. 1994. “Specification, Estimation, and Evaluation of Smooth Transition Autoregressive Models.” Journal of The American Statistical Association 89: 208–218.
   Web of Science ®Google Scholar
• Thomas, R., and N. Dimsdale. 2017. “A Millenium of UK Data” Bank of England OBRA dataset. https://www.bankofengland.co.uk/research/Pages/onebank/threecenturies.aspx
   Google Scholar
• Vougas, D. V. 2007. “Is the Trend in post-WW II US Real GDP Uncertain or Non-linear?” Economics Letters 94: 348–355.
   Web of Science ®Google Scholar
• Walton, D. R. 1988. “Does GNP Have a Unit Root? Evidence for the UK.” Economics Letters 26: 219–224.
   Web of Science ®Google Scholar
• Wasserfallen, W. 1986. “Non-stationarities in Macro-economic-time Series Further Evidence and Implications.” Canadian Journal of Economics 19: 498–510.
   Web of Science ®Google Scholar