The DOI matches its Crossref record.
How Big Is the Random Walk in GNP?
Abstract
This paper presents a measure of the persistence of fluctuations in GNP based on the variance of its long differences. That measure finds little long-term persistence in GNP. Previous research on this question found a great deal of persistence in GNP, suggesting models such as a random walk. A reconciliation of this paper's results with previous research shows that conventional criteria for time-series model building can produce misleading estimates of persistence.
Overview
The claims and statistics of this paper haven’t been checked yet.
Run the check — free, no account needed. It reads the open-access text and checks the sources it cites.
Integrity signals
Registry
Cites
Statistics
Verification
Claims the paper makes
The claims and statistics of this paper haven’t been checked yet.
Run the check — free, no account needed. It reads the open-access text and checks the sources it cites.
Self-check
Percentages, sums and reported differences re-computed from the paper’s own numbers.
The self-check needs the paper’s full text.
Citations
Cited by
Dividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement
Hodrick, R. J. (1992) · Review of Financial Studies · doi:10.1093/rfs/5.3.351 · Cited by 1,523
The Dog That Did Not Bark: A Defense of Return Predictability
Cochrane, J. H. (2008) · Review of Financial Studies · doi:10.1093/rfs/hhm046 · Cited by 1,227
Self-citationRandom walks and market efficiency tests of Latin American emerging equity markets: A revisit
Ojah, K., & Karemera, D. (1999) · Financial Review · doi:10.1111/j.1540-6288.1999.tb00454.x · Cited by 161
The Long-run Behavior of Velocity: The institutional approach revisited
Bordo, M. D., & Jonung, L. (1990) · Journal of Policy Modeling · doi:10.1016/0161-8938(90)90026-b · Cited by 75
Metadata
- Authors
- Cochrane, J. H.
- Venue
- Journal of Political Economy
- Publisher
- University of Chicago Press
- Published
- 1988-10
- Volume
- 96
- Issue
- 5
- Pages
- 893-920
- ISSN
- 0022-3808 (ISSN-L)
- 1537-534X
- OpenAlex
- W1967031021
- Cited by
- 1,258
- References
- 0
- FWCI
- 112.01
- Type
- journal article
- Language
- en
- Open access
- closed
About these checks
Registry, retraction, Cites and statistics results are computed, not judged, with one exception: a printed reference that no index lists is read once by a model before it counts as a citation error. Claims are extracted by a model and kept only when their quote appears verbatim in the text; each cited source is then checked, with a model’s help, for whether it says what the claim relies on. Those verdicts can be wrong — read the claim’s quote and the cited source before relying on one.
Statistics and arithmetic are recomputed, not judged.
Confidence bands are shown only for fields calibrated on our annotated test set. None is calibrated yet, so no band is shown.
What counts as a claim ›How we measure confidence ›How we check this ›
Are you an author, or do you see a problem with this page? Request a review
Data sources
Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
