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Article: Using stochastic growth models to understand unit roots and breaking trends

TitleUsing stochastic growth models to understand unit roots and breaking trends
Authors
KeywordsGrowth And Deterministic Trends
Stationarity Or Non-Stationarity
Issue Date1997
PublisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/jedc
Citation
Journal Of Economic Dynamics And Control, 1997, v. 21 n. 10, p. 1645-1667 How to Cite?
AbstractThis paper provides economic underpinnings for some recent econometric models of unit roots and breaking trends. It shows that in an endogenous growth model, difference stationarity is present in every growing variable; and this phenomenon is generated by the propagation mechanism of the model. For an exogenous growth model, either difference stationarity or trend stationarity may be present, depending on the nature of external impulses. Regarding long-run growth rates, permanent changes in economic fundamentals lead to segmented trends in endogenous growth models, but only shifting trends in exogenous growth models.
Persistent Identifierhttp://hdl.handle.net/10722/177665
ISSN
2015 Impact Factor: 0.879
2015 SCImago Journal Rankings: 0.937
ISI Accession Number ID
References

 

DC FieldValueLanguage
dc.contributor.authorLau, SHPen_US
dc.date.accessioned2012-12-19T09:39:28Z-
dc.date.available2012-12-19T09:39:28Z-
dc.date.issued1997en_US
dc.identifier.citationJournal Of Economic Dynamics And Control, 1997, v. 21 n. 10, p. 1645-1667en_US
dc.identifier.issn0165-1889en_US
dc.identifier.urihttp://hdl.handle.net/10722/177665-
dc.description.abstractThis paper provides economic underpinnings for some recent econometric models of unit roots and breaking trends. It shows that in an endogenous growth model, difference stationarity is present in every growing variable; and this phenomenon is generated by the propagation mechanism of the model. For an exogenous growth model, either difference stationarity or trend stationarity may be present, depending on the nature of external impulses. Regarding long-run growth rates, permanent changes in economic fundamentals lead to segmented trends in endogenous growth models, but only shifting trends in exogenous growth models.en_US
dc.languageengen_US
dc.publisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/jedcen_US
dc.relation.ispartofJournal of Economic Dynamics and Controlen_US
dc.subjectGrowth And Deterministic Trendsen_US
dc.subjectStationarity Or Non-Stationarityen_US
dc.titleUsing stochastic growth models to understand unit roots and breaking trendsen_US
dc.typeArticleen_US
dc.identifier.emailLau, SHP: laushp@hkucc.hku.hken_US
dc.identifier.authorityLau, SHP=rp01073en_US
dc.description.naturelink_to_subscribed_fulltexten_US
dc.identifier.doi10.1016/S0165-1889(97)00021-3-
dc.identifier.scopuseid_2-s2.0-0031206150en_US
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-0031206150&selection=ref&src=s&origin=recordpageen_US
dc.identifier.volume21en_US
dc.identifier.issue10en_US
dc.identifier.spage1645en_US
dc.identifier.epage1667en_US
dc.identifier.isiWOS:A1997XP05900005-
dc.publisher.placeNetherlandsen_US
dc.identifier.scopusauthoridLau, SHP=7401596159en_US

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