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Trends, Random Walks and Persistence: An Empirical Study of Disaggregated U.S. Industrial Production

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  • Krol, Robert

Abstract

Unit-root and variance-ratio tests are used to examine the trend properties and degree of persistence of industrial production in U.S. industries and comparable aggregates during the post-World War II period. The evidence from unit-root tests suggests that less than one-half of these industries have output that may be characterized as a random walk. The variance-ratio test results generally support this conclusion. Consistent with standard economic theory, fluctuations in durable-goods industries are less persistent than in nondurable goods industries. Finally, tests find relatively greater persistence in the aggregate industrial production data. Copyright 1992 by MIT Press.

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Bibliographic Info

Article provided by MIT Press in its journal Review of Economics & Statistics.

Volume (Year): 74 (1992)
Issue (Month): 1 (February)
Pages: 154-59

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Handle: RePEc:tpr:restat:v:74:y:1992:i:1:p:154-59

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Web page: http://mitpress.mit.edu/journals/

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Cited by:
  1. Lee, Kevin, 1997. "Modelling economic growth in the UK: An econometric case for disaggregated sectoral analysis," Economic Modelling, Elsevier, vol. 14(3), pages 369-394, July.
  2. Guglielmo Caporale & Luis Gil-Alana, 2003. "Long memory and structural breaks in hyperinflation countries," Journal of Economics and Finance, Springer, vol. 27(2), pages 136-152, June.
  3. Shelley, Gary L. & Wallace, Frederick H., 1998. "Tests of the money-output relation using disaggregated data," The Quarterly Review of Economics and Finance, Elsevier, vol. 38(4), pages 863-873.
  4. 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.
  5. Asmaa Ahmed, 2005. "Random Walks in the Economic Dynamic Series," Economic Thought journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 2, pages 78-100.
  6. Franco Bevilacqua & Adriaan van Zon, 2002. "Random Walks and Non-Linear Paths in Macroeconomic Time Series: Some Evidence and Implications," Working Papers geewp22, Vienna University of Economics Research Group: Growth and Employment in Europe: Sustainability and Competitiveness.
  7. 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.
  8. Cunado, J. & Gil-Alana, L. A. & Perez de Gracia, F., 2004. "Is the US fiscal deficit sustainable?: A fractionally integrated approach," Journal of Economics and Business, Elsevier, vol. 56(6), pages 501-526.
  9. 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.

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