Please use this identifier to cite or link to this item: http://buratest.brunel.ac.uk/handle/2438/3455
Title: Long memory in US real output per capita
Authors: Caporale, GM
Gil-Alana, LA
Keywords: Fractional integration; Long memory; convergence
Issue Date: 2009
Publisher: Brunel University
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.
URI: http://bura.brunel.ac.uk/handle/2438/3455
Appears in Collections:Economics and Finance
Dept of Economics and Finance Research Papers

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