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Testing for the Stationarity in Total Factor Productivity: Nonlinearity Evidence from 79 Countries

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Abstract

Several studies have conducted empirical research on different aspects of total factor productivity. However, the estimation of its degree of integration, which has important usefulness for policy formulation, forecasting purposes and econometric modeling, has been greatly overlooked in the literature. The purpose of this paper is to examine the stationarity properties of total factor productivity in 79 economies for the period 1970–2011. Using a newly constructed dataset and a new nonstationarity test that provide for nonlinearity in the estimations, the empirical results show that the series in 67 countries (or 85 % of the total sample) follow the unit root process. In other words, the total factor productivity in these countries are integrated of order one. For the remaining 12 countries (or 15 % of the total sample), we observe that the series exhibit stationary process. We discuss the policy implications of these findings and offer suggestions for further research.

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Notes

  1. United Nations Industrial Development Organization (UNIDO) also provides World Productivity Database. However, the database ends in 2000 and as such we do not use it.

  2. The details of the tests can be found in Lee and Strazicich (2003, 2004).

  3. We also subject the series to the conventional unit root tests of Said and Dickey (1984) and Phillips and Perron (1988). The results (which are not provided here because of space) show that very few countries with stationarity of the total factor productivity.

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  1. Faculty of Business, Multimedia University, Melaka, Malaysia

    Sakiru Adebola Solarin

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Solarin, S.A. Testing for the Stationarity in Total Factor Productivity: Nonlinearity Evidence from 79 Countries. J Knowl Econ 8, 141–158 (2017). https://doi.org/10.1007/s13132-015-0265-4

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  • DOI: https://doi.org/10.1007/s13132-015-0265-4

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