Long memory in US real output per capita

Caporale, Guglielmo Maria and Gil-Alana, Luis A. (2009) Long memory in US real output per capita. Centre for International Capital Markets discussion papers, 2009 (10). pp. 1-37. ISSN 1749-3412

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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.

Item Type: Article
Uncontrolled Keywords: Centre for International Capital Markets discussion papers; CICM discussion papers; fractional integration; long memory; convergence
Subjects: 300 Social sciences > 330 Economics
Department: Guildhall School of Business and Law
Depositing User: Mary Burslem
Date Deposited: 20 Apr 2015 14:48
Last Modified: 20 Apr 2015 14:48
URI: http://repository.londonmet.ac.uk/id/eprint/437

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