+44 (0)20 7000 8435     lreichlin@london.edu     London Business School, Regent's Park, London, NW1 4SA  
 |   |  Contact  |  Login

Papers

On Persistence of Shocks to Economic Variables: A Common Misconception
Journal of Monetary Economics, 1992.
Reichlin, L., Lippi, M.
Date Published: 01/02/1992

Abstract:
Empirical results on U.S. GNP have provided estimates of the Beveridge and Nelson's persistence measure (almost) always greater than unity when using ARIMA models and always smaller than unity when using UCARIMA models. This paper shows that a measure of persistence less than unity is a mathematical consequence of the definition of UCARIMA models and not an independent estimation result. Therefore, ARIMA and UCARIMA estimates of persistence cannot be compared on the same ground.
Citation:
Reichlin, L., Lippi, M., "On persistence of shocks to economic variables: a common misconception", Journal of Monetary Economics, Volume 29, Issue 1, February 1992, pp. 87-93


Search Google Scholar for this entry





London Business School
Regent's Park
London
NW1 4SA
lreichlin@london.edu
+44 (0)20 7000 8435
Copyright © 2024   Lucrezia Reichlin
Website Design & Development for Schools By VisioSoft   |   T&C
User Guide   15  


Selct an hour and a minute and then click on Set Time

Selected Time:  _:_

Hours
Minutes
 
Set Time