structural break nonlinearity and asymmetry a re examination of ppp proposition in this study we examine the validity of the ppp proposition for 28 european countries for this purpose we propose a new unit root test procedure that allows for both gradual structural breaks a

a multicountry characterization of the nonstationarity of aggregate output the authors compute the scaled varlogram the variances of kth differences scaled by the variance of first differences of the log of annual per capita real aggregate output gdp or gnp as measured by 1 the long series for the united states and united kingdom 2 angus maddison s 1982 long series for twelve countries and 3 the postwar ifs data for thirty two countries simulations show that the scaled varlogram of real output is nearly always more consistent with the data being generated by parsimonious difference stationary than trend stationary univariate processes in fact the data reveal some excess nonstationarity relative to parsimonious arima models the power of the scaled varlogram to discriminate between trend stationary and difference stationary processes is somewhat greater than that of a dickey fuller type f test copyright 1990 by ohio state university press

does real u k gdp have a unit root evidence from a multi century perspective we 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 201

the effects of american and japanese style employment and compensation practices on innovation success in the global marketplace increasingly requires that firms develop capabilities in innovation in this paper we argue that firms can use employment and compensation practices to foster innovation and support for innovation by employees conversely some employment and compensation systems will inhibit innovation a system that allows gain sharing by employees and provides employment assurance will foster innovation in the firm however a system that compensates employees with a fixed wage and allows for termination at will contains anti innovative incentives the former system is the prototypical japanese system particularly in large firms while the latter system is the prototypical american system the commercial success of japanese firms is increasingly attributed to successful innovation particularly in processes we argue that this success is partly attributable to the japanese style system of employment and compensation none of this suggests however that the japanese style practices c

smooth breaks and non linear mean reversion post bretton woods real exchange rates the recent literature on purchasing power parity ppp has emphasized the role of two phenomena that may lead to the rejection of the ppp hypothesis structural breaks and non linear adjustment induced by transaction costs these two hypotheses are analyzed separately in the literature we develop tests for unit roots that account jointly for structural breaks and non linear adjustment structural breaks are modeled by means of a fourier function that allows for infrequent smooth temporary mean changes and is hence compatible with long run ppp nonlinear adjustment is modeled by means of an estar model our tests present good finite sample properties the tests are applied to a set of 15 oecd countries rers and are able to reject the null of a unit root in 14 cases the breaks are usually associated with the great appreciation and later depreciation of the dollar in the 1980s and the estar adjustment appears to play an important role

further evidence regarding nonlinear trend reversion of real gdp and the cpi abstract this paper examines whether the cpi and real gdp for the us exhibit nonlinear reversion to trend as recently concluded by beechey and osterholm beechey m and osterholm p 2008 revisiting the uncertain unit root in gdp and cpi testing for nonlinear trend reversion economics letters 100 221 223 the wild bootstrap is used to correct for non normality and heteroscedasticity in a nonlinear unit root test the use of wild bootstrapped critical values affects test conclusions in some cases results also are sensitive to the sample period examined

are real gdp levels nonstationary evidence from panel data tests potential nonstationarity of important macroeconomic variables and unit root tests are now a standard procedure in empirical analyses while there are many findings of unit roots in macroeconomic variables using the popular augmented dickey and fuller 1979 test this test has low power against near unit root alternatives recently panel data procedures have been proposed as an avenue to increased power this paper applies panel unit root tests to international real gdp and real gdp per capita data the results overwhelmingly indicate that international real gdp and real gdp per capita levels are nonstationary

non stationarities in macro economic time series further evidence and implications two sources of non stationarities in the mean of macro economic time series are investigated the empirical evidence for several countries clearly implies that differencing is to be preferred to the assumption of a deterministic linear time trend this result is somewhat weaker with respect to the analogous choice between seasonal differencing and seasonal dummy variables it is recommended that the time series properties of the variables considered in empirical work be carefully checked because the estimated relationships may heavily depend on the chosen detrending procedure les non stationarites dans ies chroniques macro economiques resultats supplmentaires et implications l auteur examine deux sources de non stationarite dans la mnoyenne des chroniques macroeconomiques les resultats d analyses de donnees pour plusieurs pays montrent clairement qu on doit preferer l usage d un processus de differences finies a l emploi d une tendance lineaire deterministe ce resultat est un peu moins robuste pour ce qui est du choix analogue entre l utilisation de differences saisonnieres par rapport a

the uncertain trend in u s gdp abstract several recent papers conclude that gdp is trend stationary implying that all shocks are transitory we re examine the evidence in light of test size distortion due to data based lag selection and departures from the maintained hypothesis of temporal homogeneity and find both effects trigger false rejections of the unit root hypothesis when it is true and signal the presence of permanent shifts in trend that did not occur trend stationarity is not supported by the more homogeneous post war data but if imposed implies cycles of implausible duration and pattern 1997 output was 8 below trend

output and unemployment dynamics in the united states 1950 1985 for us data over 1950 1985 the stochastic components of gnp growth and the unemployment rate appear to be stationary and there is substantial feedback between these variables the unconditional mean rate of unemployment in a joint model thus provides a natural benchmark in discussions of the business cycle a bivariate var model is used to describe output unemployment dynamics to estimate the degree of persistence of output innovations and to decompose output into trend and cycle the bivariate results are interpreted using a restricted var and it is shown that a closely related cyclical measure can be obtained directly from the okun s law equation

productivity and economic growth in japan and the united states during the period from 1960 to 1973 the economic growth rate in japan was at the rate of 10 or 11 percent per year japan was not the only country that grew rapidly during that period france and germany grew at 5 9 and 5 4 percent per year between 1960 and 1973 and italy grew at 4 8 percent per year even the united kingdom grew at a respectable 3 8 percent per year the united states grew at 4 3 percent per year during this period to fill out the roster of the seven major industrialized countries canada grew at 5 1 percent per year after the first oil crisis in 1973 and even more so after the second oil crisis in 197879 there was a dramatic decline of economic growth among industrialized countries growth in the oecd countries dipped to 2 6 percent per year between 1973 and 1979 japanese growth dropped from the doubledigit levels of the 1960 s and the early 1970 s to 3 8 percent per year from 1973 to 1979 in the united states the growth rate dropped to slightly above the oecd average at 2 8 percent per year the rate of economic growth in germany dropped to 2 4 percent and in france to 3 1 percent in every major industrialized country there was a precipitous fall in the rate of economic growth the sources of economic growth in japan and the united states over the whole period from 1960 to 1979 are given in table 1 if we compare japan and the united states during the period 1960 79 we see that the growth of output over the whole period was 8 3 percent in japan and only 3 5 percent in the united states we can allocate this growth in output in the two countries among its three sources namely the contribution of capital input the contribution of labor input and the rate of technical change by far the most important contributor to economic growth in both countries is the growth of capital input this growth source accounts for about 5 percentage points of the japanese economic growth rate and about 1 5 percentage points of the u s economic growth rate this amounts to 60 percent of japanese growth and 40 percent of u s growth labor input in the two countries is a major contributor to economic growth accounting for 1 5 percent of the japanese growth rate and 1 2 percent of the u s growth rate the rate of technical change is an important contributor as well at nearly 2 percent in japan and 0 7 percent in the united states i conclude that by far the most important contributor to economic growth in the two countries is the growth of capital input the relative importance of capital input is much greater in japan than in the united states focusing attention on the period from 1973 to 1979 after the energy crisis we can see that capital input retained its lead as a source of economic growth in both countries however the decline in the growth of tdiscussants john w kendrick george washington university j randolph norsworthy rensselaer polytechnic institute rolf r piekarz national science foundation

are output fluctuations transitory according to the conventional view of the business cycle fluctuations in output represent temporary deviations from trend the purpose of this paper is to question this conventional view if fluctuations in output are dominated by temporary deviations from the natural rate of output then an unexpected change in output today should not substantially change one s forecast of output in say five or ten years our examination of quarterly postwar united states data leads us to be skeptical about this implication the data suggest that an unexpected change in real gnp of 1 percent should change one s forecast by over 1 percent over a long horizon

the economics of organization the transaction cost approach the transaction cost approach to the study of economic organization regards the transaction as the basic unit of analysis and holds that an understanding of transaction cost economizing is central to the study of organizations applications of this approach require that transactions be dimensionalized and that alternative governance structures be described economizing is accomplished by assigning transactions to governance structures in a discriminating way the approach applies both to the determination of efficient boundaries as between firms and markets and to the organization of internal transactions including the design of employment relations the approach is compared and contrasted with selected parts of the organization theory literature

pricing to market in european automobile exports to oecd countries a panel data approach this paper investigates pricing to market behaviour using data for european auto exports the empirical analysis uses forward instead of spot exchange rates cross country and cross product analyses reveal that pricing behaviour depends mainly on the class of product while the country of origin and destination appears as less important furthermore the data do not usually reject the hypothesis of a symmetric response of export prices to depreciations and appreciations of the exporter s currency finally although the point estimates confirm the combined influence of the business cycle and the direction of the exchange rate movements on pricing to market in most cases formal tests seldom provide statistical significance for this result

is the trend in post ww ii us real gdp uncertain or non linear abstract this paper examines the presence of deterministic trend and or absence of a unit root in the log of post ww ii us real gdp evidence favoring non linear deterministic trend and trend stationarity unit root absence is found contradicting recent unit root and trend uncertainty findings

does gnp have a unit root a re evaluation abstract stock and watson 1986 test the hypothesis that real per capita gnp has a unit root by using a test statistic due to phillips 1985 which incorporates a non parametric correction for the serial correlation induced by system and error dynamics the version of this test that is used by stock and watson does not accomodate the presence of a drift and to compensate they detrend the series by extracting a 1 5 annual trend growth we use a version of this class of non parametric tests developed by phillips and perron 1986 which allows for an estimated drift and reassess the stock and watson findings

international evidence on the size of the random walk in output this paper contributes three extensions of cochrane s work on measuring the relative stability of long term growth it estimates variance ratios for nine oecd countries over the period 1871 1985 presents an improved approximation to the distribution of the variance ratio and considers the comovements of long growth cycles across countries the evidence indicates that the relative stability of long term growth found by cochrane is unique to the united states relative to the united states most countries have more variable dynamics at low frequencies and smoother dynamics at frequencies traditionally associated with business cycles

revisiting the uncertain unit root in gdp and cpi testing for non linear trend reversion we test for the presence of a unit root in u s gdp and cpi allowing for non linear trend reversion under the alternative hypothesis in contrast to most previous results we find evidence in favour of trend stationarity for both variables

testing ppp in the non linear star framework abstract we apply the standard adf test and a new test that incorporates non linearity in time series to the real effective exchange rates of 23 industrial countries the new test provides support for ppp in more countries than the adf test