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Long memory and persistence in aggregate output
Abstract
Abstract We examine persistence in U.S. aggregate output by estimating fractionally integrated ARIMA models. These models provide better low-frequency approximations to the Wold representation than previous stochastic specifications, and earlier results on the importance of a permanent component emerge as special cases. We find evidence of long memory, which induces persistence, though this long memory need not be associated with a unit root. Our point estimates indicate that macroeconomic shocks, while persistent, are distinctly less persistent than many earlier studies suggest; however, confidence intervals associated with the long-run response are quite wide.
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Citations
Cited by
Modeling and pricing long memory in stock market volatility
Bollerslev, T., & Ole Mikkelsen, H. (1996) · Journal of Econometrics · doi:10.1016/0304-4076(95)01736-4 · Cited by 1,208
The econometrics of financial markets
Pagan, A. (1996) · Journal of Empirical Finance · doi:10.1016/0927-5398(95)00020-8 · Cited by 873
Physical approach to complex systems
Kwapień, J., & Drożdż, S. (2012) · Physics Reports · doi:10.1016/j.physrep.2012.01.007 · Cited by 517
Cointegration, Fractional Cointegration, and Exchange Rate Dynamics
BAILLIE, R. T., & BOLLERSLEV, T. (1994) · The Journal of Finance · doi:10.1111/j.1540-6261.1994.tb05161.x · Cited by 363
Model Averaging and Its Use in Economics
Steel, M. F. J. (2020) · Journal of Economic Literature · doi:10.1257/jel.20191385 · Cited by 321
Metadata
- Authors
- Diebold, F. X., & Rudebusch, G. D.
- Venue
- Journal of Monetary Economics
- Publisher
- Elsevier BV
- Published
- 1989-09
- Volume
- 24
- Issue
- 2
- Pages
- 189-209
- ISSN
- 0304-3932 (ISSN-L)
- OpenAlex
- W2000531222
- Cited by
- 541
- References
- 0
- FWCI
- 25.26
- Type
- journal article
- Language
- en
- Open access
- closed
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- Diebold, F. X., & Rudebusch, G. D. (1989). Long memory and persistence in aggregate output. Journal of Monetary Economics. https://doi.org/10.1016/0304-3932(89)90003-2
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