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http://hdl.handle.net/10419/29750
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| Title: | | Long memory in US real output per capita  |
| Authors: | | Caporale, Guglielmo Maria Gil-Alana, Luis A. |
| Issue Date: | | 2009 |
| Series/Report no.: | | Discussion papers // German Institute for Economic Research 891 |
| Abstract: | | This paper analyses the long memory properties of quarterly real output per capita in the US (1948Q1 ¿ 2008Q3) using non-parametric, semi-parametric and parametric techniques. The results vary substantially depending on the methodology employed. Evidence of mean reversion is obtained in a parametric context if the underlying disturbances are weakly autocorrelated. We also examine the possibility of a structural break in the data and the results indicate that there is a slight reduction in the degree of persistence after the break that is found to occur in the second quarter of 1978. |
| Subjects: | | Fractional integration long memory convergence |
| JEL: | | C22 O40 |
| Document Type: | | Working Paper |
| Appears in Collections: | | Publikationen von Forscherinnen und Forschern des DIW DIW-Diskussionspapiere
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