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Title:Long memory in US real output per capita PDF Logo
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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