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Shock Persistence and Structural Change

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  • DAVID GREASLEY
  • LES OXLEY

Abstract

Testing for unit roots, and the related issue of measuring shock persistence, has attracted considerable econometric interest. The issue of the size of the random walk component raised by Cochrane (1988) has been extended by Coglcy (1990). Jaeger (1990), Leung (1992), and latterly Mayadunne, Evans and Inder (1995).

Suggested Citation

  • David Greasley & Les Oxley, 1997. "Shock Persistence and Structural Change," The Economic Record, The Economic Society of Australia, vol. 73(223), pages 348-362, December.
    • Handle: RePEc:bla:ecorec:v:73:y:1997:i:223:p:348-362
    DOI: 10.1111/j.1475-4932.1997.tb01007.x
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    References listed on IDEAS

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    1. Robert J. Gordon, 1986. "The American Business Cycle: Continuity and Change," NBER Books, National Bureau of Economic Research, Inc, number gord86-1, March.
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    5. repec:fth:harver:1418 is not listed on IDEAS
    6. Cochrane, John H, 1988. "How Big Is the Random Walk in GNP?," Journal of Political Economy, University of Chicago Press, vol. 96(5), pages 893-920, October.
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    15. Geetha Mayadunne & Merran Evans & Brett Inder, 1995. "An Empirical Investigation of Shock Persistence in Economic Time Series," The Economic Record, The Economic Society of Australia, vol. 71(2), pages 145-156, June.
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    19. Greasley, David & Oxley, Les, 1997. "Unit Roots and British Industrial Growth, 1923-92," The Manchester School of Economic & Social Studies, University of Manchester, vol. 65(2), pages 192-212, March.
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    Cited by:

    1. David Greasley & Les Oxley, 2010. "Cliometrics And Time Series Econometrics: Some Theory And Applications," Journal of Economic Surveys, Wiley Blackwell, vol. 24(5), pages 970-1042, December.

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