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|Title:||Long memory in US real output per capita|
|Keywords:||Fractional integration; Long memory; convergence|
|Citation:||Economics and Finance Working Paper, Brunel University, 09-06.|
|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.|
|Appears in Collections:||Economics and Finance|
Dept of Economics and Finance Research Papers
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