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Persistence of Shocks on Seasonal Processes

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Author Info
Proietti, Tommaso

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Abstract

The paper addresses the issue of measuring the persistence of shocks on seasonally integrated processes observed at quarterly intervals. We show that the amplitude of the limiting cycle described by the cumulated impulse response function provides a parametric measure of persistence and that Cochrane's normalized variance ratio can correspondingly be extended as a non-parametric counterpart. For illustrative purposes the latter is applied to the Italian GDP and to the output of the agricultural sector. Copyright 1996 by John Wiley & Sons, Ltd.

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Article provided by John Wiley & Sons, Ltd. in its journal Journal of Applied Econometrics.

Volume (Year): 11 (1996)
Issue (Month): 4 (July-Aug.)
Pages: 383-98
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Handle: RePEc:jae:japmet:v:11:y:1996:i:4:p:383-98

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  1. Ciaran Driver & Paul Temple & Giovanni Urga, 2005. "Explaining the Diversity of Industry Investment Responses to Uncertainty Using Long Run Panel Survey Data," Department of Economics Discussion Papers 0405, Department of Economics, University of Surrey. [Downloadable!]
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This page was last updated on 2009-12-17.

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