Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/29750
Authors: 
Caporale, Guglielmo Maria
Gil-Alana, Luis A.
Year of Publication: 
2009
Series/Report no.: 
DIW Discussion Papers 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

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