Long memory in US real output per capita

Guglielmo Maria Caporale and Luis Gil-Alana

Empirical Economics, 2013, vol. 44, issue 2, 611 pages

Abstract: This article 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. Copyright Springer-Verlag 2013

Keywords: Fractional integration; Long memory; Convergence; C22; O40 (search for similar items in EconPapers)
Date: 2013
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Related works:
Working Paper: Long Memory in US Real Output per Capita (2009)
Working Paper: Long Memory in US Real Output per Capita (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:spr:empeco:v:44:y:2013:i:2:p:591-611

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DOI: 10.1007/s00181-012-0559-3

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