Modeling Real GDP Per Capita in the USA: Cointegration Test

Kitov, Ivan; Kitov, Oleg; Dolinskaya, Svetlana

doi:10.2139/ssrn.969975

Cited by 9 publications

(13 citation statements)

References 14 publications

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“…According to the predicted curves, France will not suffer significant recession in the next four to six years, but it is likely that a short recession period will hit France in the near future. Having the annual GDP estimates, one can use (6) to calculate the number of 18-year-olds in France. Figure 2 illustrates results of the inversion between 1963 and 2009.…”

Section: Resultsmentioning

confidence: 99%

“…Since all GDP time series are intrinsically non-stationary ones we have conducted a comprehensive statistical analysis including tests for cointegration [6]. Both the Engle-Granger and Johansen approaches confirmed the presence of a cointegrating relation between real GDP and the specific age population, which is nine years in the USA and eighteen years in Japan.…”

Section: Introductionmentioning

confidence: 94%

“…Nevertheless, quantitative modelling of GDP is possible and demonstrates a reasonable statistical reliability [6]. In order to avoid the influence of fluctuations in exchange rates between various national currencies, we use only GDP expressed in 1990 US dollars converted at GaryKhamis PPPs, as presented by the Conference Board [8].…”

Section: The Model and Datamentioning

confidence: 99%

“…Three years ago we introduced a new concept describing the evolution of real Gross Domestic Product (GDP) as driven by the change in specific age population and the attained level of real GDP per capita [3][4][5][6]. According to this model, the growth in real GDP per capita (for the sake of brevity, below we often omit "per capita") in developed countries is characterized by an annual increment, as expressed in dollars per year, which is constant over time, and all fluctuations around the long-term trend defined by the increment can be explained by the change in the number of people of country-specific age population.…”

Section: Introductionmentioning

confidence: 99%

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Predicting Real GDP Per Capita in France, Germany, New Zealand, and the UK

Kitov

2009

SSRN Journal

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The growth rate of real GDP per capita is modelled and predicted at various time horizons for France, Germany, New Zealand, and the United Kingdom. The rate of growth is represented by a sum of two components -a monotonically decreasing trend and fluctuations related to the change in country-specific age population. The trend is an inverse function of real GDP per capita with constant numerator. Similar analysis was conducted for the USA and Japan.

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Section: Resultsmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 94%

Section: The Model and Datamentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

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Predicting Real GDP Per Capita in France, Germany, New Zealand, and the UK

Kitov

2009

SSRN Journal

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“…In another study [23] investigated the evolution of real GDP per capita in the United States using a two-component model; the first component was the growth trend and the second component was the fluctuations around the growth trend. The trend component was found to be inversely proportional to the attained level of real GDP per capita.…”

Section: Forecasting Gdp Per Capitamentioning

confidence: 99%

Bayesian and Frequentist Approach to Time Series Forecasting with Application to Kenya’s GDP per Capita

Musembi¹

2019

IJDSA

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Real GDP per capita is an important indicator of a country's or regional economic activity and is often used by decision makers in the development of economic policies. Expectations about future GDP per capita can be a primary determinant of investments, employment, wages, profits and stock market activities. This study employed both the frequentist and the Bayesian approaches to Kenya's GDP per capita time series data for the period between 1980-2017 as obtained from the World Bank data portal. The autoregressive integrated moving average (ARIMA) and the state space models were fitted. The results of the study showed that the local linear trend model and the ARIMA(1,2,1) model are appropriate for forecasting the GDP per capita but the former outperforms the latter. The local linear trend model was used to perform a 3-step ahead forecast and the forecasted value was found to be U.

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Exact Prediction of S&P 500 Returns

Kitov

2007

SSRN Journal

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Modeling Real GDP Per Capita in the USA: Cointegration Test

Cited by 9 publications

References 14 publications

Predicting Real GDP Per Capita in France, Germany, New Zealand, and the UK

Predicting Real GDP Per Capita in France, Germany, New Zealand, and the UK

Bayesian and Frequentist Approach to Time Series Forecasting with Application to Kenya’s GDP per Capita

Exact Prediction of S&P 500 Returns

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