Are Economic Fluctuations Really Persistent? A Reinterpretation of Some International Evidence
AbstractIn this paper, the authors show that estimates of J. H. Cochrane's (1988) suggested measure of the persistence of fluctuations in real output will be biased if there is a single break in the mean rate of growth of output. The authors then show that the major findings of J. Y. Campbell and N. G. Mankiw (1989)--that for a number of industrial countries estimates of Cochrane's measure of persistence are generally very high though different and that a subgroup of countries with high output persistence have low relative output persistence--can be largely accounted for by the difference in each country between its pre-1974 and post-1973 mean growth rates. Copyright 1992 by Royal Economic Society.
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Bibliographic InfoArticle provided by Royal Economic Society in its journal The Economic Journal.
Volume (Year): 102 (1992)
Issue (Month): 414 (September)
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- Gil-Alaña, Luis A., 2000. "Testing of unit roots and other fractionally integrated hypotheses in the presence of structural breaks," SFB 373 Discussion Papers 2000,13, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Gil-Alaña, Luis A., 2001. "Unit and fractional roots in the presence of abrupt changes with an application to the Brazilian inflation rate," SFB 373 Discussion Papers 2001,67, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- McMillan, David G. & Wohar, Mark E., 2010. "Persistence and time-varying coefficients," Economics Letters, Elsevier, vol. 108(1), pages 85-88, July.
- Gil-Alana, L. A. & Robinson, P. M., 1997. "Testing of unit root and other nonstationary hypotheses in macroeconomic time series," Journal of Econometrics, Elsevier, vol. 80(2), pages 241-268, October.
- Nagakura, Daisuke, 2008. "A note on the two assumptions of standard unobserved components models," Economics Letters, Elsevier, vol. 100(1), pages 123-125, July.
- Christian Ragacs & Thomas Steinberger & Martin Zagler, 1998. "Growth Theories and the Persistence of Output Fluctuations: The Case of Austria," Department of Economics Working Papers wuwp060, Vienna University of Economics, Department of Economics.
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