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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
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.
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