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How Big Is the Random Walk in GNP?

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Cochrane, John H

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Abstract

This paper presents a measure of the persistence of fluctuations in gross national product (GNP) based on the variance of its long differences. That measure finds little long-term persistence in GNP. Previous research on this question found a great deal of persistence in GNP, suggesting models such as a random walk. A reconciliation of this paper's results with previous research shows that conventional criteria for time-series model building can produce misleading estimates of persistence. Copyright 1988 by University of Chicago Press.

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Publisher Info
Article provided by University of Chicago Press in its journal Journal of Political Economy.

Volume (Year): 96 (1988)
Issue (Month): 5 (October)
Pages: 893-920
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Handle: RePEc:ucp:jpolec:v:96:y:1988:i:5:p:893-920

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