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Title: GDP per capita in Africa before the global financial crisis: persistence, mean reversion and long memory features
Authors: Gil-Alana, L. A.
Yaya, O. S.
Shittu, O. I.
Keywords: Africa
Global financial crisis
Long memory
Issue Date: Dec-2015
Publisher: The Central Bank of Nigeria
Abstract: This paper examined the long memory features of GDP per capita data before the global financial crisis, using a sample of 26 African countries. The study employed fractional integration and tested the stability of the differencing parameter across the sample period for each country. The results indicated that most of the countries’ GDP series were I(1) or higher. Evidence of mean reversion was observed in 10 countries where the disturbances were autocorrelated. There was strong evidence against mean reversion in the remaining 16 countries. The results also indicated that the fractional differencing parameter was stable in 17 countries, while the presence of structural breaks was investigated in the remaining 9 countries.
ISSN: 2141-9272
Appears in Collections:Academic Publications in Statistics

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