Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/30659
Year of Publication: 
2009
Series/Report no.: 
CESifo Working Paper No. 2671
Publisher: 
Center for Economic Studies and ifo Institute (CESifo), Munich
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:

Files in This Item:
File
Size
318.71 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.