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http://bura.brunel.ac.uk/handle/2438/3455
Title: | Long memory in US real output per capita |
Authors: | Caporale, GM Gil-Alana, LA |
Keywords: | Fractional integration; Long memory; convergence |
Issue Date: | 2009 |
Publisher: | Brunel University |
Citation: | Economics and Finance Working Paper, Brunel University, 09-06. |
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. |
URI: | http://bura.brunel.ac.uk/handle/2438/3455 |
Appears in Collections: | Economics and Finance Dept of Economics and Finance Research Papers |
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