Long Memory in US Real Output per Capita

Guglielmo Maria Caporale and Luis Gil-Alana

No 2671, CESifo Working Paper Series from CESifo

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.

Keywords: fractional integration; long memory; convergence (search for similar items in EconPapers)
JEL-codes: C22 O40 (search for similar items in EconPapers)
Date: 2009
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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Related works:
Journal Article: Long memory in US real output per capita (2013)
Working Paper: Long Memory in US Real Output per Capita (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:ces:ceswps:_2671

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