An Empirical Investigation of Shock Persistence in Economic Time Series
AbstractWhether or not shocks persist has important implications in economics. An empirical study investigates this issue for key Australian and U.S. macroeconomic time series. The existence of persistence is investigated by unit root tests and its magnitude estimated by recently proposed techniques. Results from these different approaches are compared. Copyright 1995 by The Economic Society of Australia.
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Bibliographic InfoArticle provided by The Economic Society of Australia in its journal The Economic Record.
Volume (Year): 71 (1995)
Issue (Month): 213 (June)
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- Giugale, Marcelo & Korobow, Adam, 2000. "Shock persistence and the choice of foreign exchange regime - an empirical note from Mexico," Policy Research Working Paper Series 2371, The World Bank.
- McMillan, David G. & Wohar, Mark E., 2010. "Persistence and time-varying coefficients," Economics Letters, Elsevier, vol. 108(1), pages 85-88, July.
- Surajit Deb, 2003. "Terms of Trade and Supply Response of Indian Agriculture: Analysis in Cointegration Framework," Working papers 115, Centre for Development Economics, Delhi School of Economics.
- Charley Xia and William Griffiths, 2012. "Bayesian Unit Root Testing: The Effect Of Choice Of Prior On Test Outcomes," Department of Economics - Working Papers Series 1152, The University of Melbourne.
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