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DC Field | Value | Language |
---|---|---|
dc.contributor.author | Caporale, GM | - |
dc.contributor.author | Gil-Alana, LA | - |
dc.coverage.spatial | 38 | en |
dc.date.accessioned | 2009-07-09T14:12:03Z | - |
dc.date.available | 2009-07-09T14:12:03Z | - |
dc.date.issued | 2009 | - |
dc.identifier.citation | Economics and Finance Working Paper, Brunel University, 09-06. | en |
dc.identifier.uri | http://bura.brunel.ac.uk/handle/2438/3455 | - |
dc.description.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. | en |
dc.format.extent | 343319 bytes | - |
dc.format.mimetype | application/pdf | - |
dc.language.iso | en | - |
dc.publisher | Brunel University | en |
dc.subject | Fractional integration; Long memory; convergence | en |
dc.title | Long memory in US real output per capita | en |
dc.type | Working Paper | en |
Appears in Collections: | Economics and Finance Dept of Economics and Finance Research Papers |
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