This file is part of IDEAS , which uses RePEc data
[ Papers |
Articles |
Software |
Books |
Chapters |
Authors |
Institutions |
JEL Classification |
NEP reports |
Search |
New papers by email |
Author registration |
Rankings |
Volunteers |
FAQ |
Blog |
Help! ]
Long Memory in US Real Output per Capita Author info | Abstract | Publisher info | Download info | Related research | Statistics Guglielmo Maria Caporale ()
Luis A. Gil-Alana ()
Additional information is available for the following
registered author(s):
This paper analyses the long memory properties of quarterly real output per capita in the US (1948Q1 – 2008Q3) using non-parametric, semi-parametric and parametric techniques. The results vary substantially depending on the methodology employed. Evidence of mean reversion is obtained in a parametric context if the underlying disturbances are weakly autocorrelated. We also examine the possibility of a structural break in the data and the results indicate that there is a slight reduction in the degree of persistence after the break that is found to occur in the second quarter of 1978.
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
page . Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
Paper provided by CESifo Group Munich in its series CESifo Working Paper Series with number
CESifo Working Paper No. 2671.
Download reference. The following formats are available: HTML
(with abstract ),
plain text
(with abstract ),
BibTeX ,
RIS (EndNote, RefMan, ProCite),
ReDIF
Length:
Date of creation: 2009Date of revision:
Handle: RePEc:ces:ceswps:_2671Contact details of provider: Postal: Poschingerstrasse 5, 81679 Munich Phone: +49 (89) 9224-0 Fax: +49 (89) 985369 Web page: http://www.cesifo.de
For technical questions regarding this item, or to correct its listing, contact: (Julio Saavedra).
Keywords: fractional integration ; long memory ; convergence ; Other versions of this item:
Find related papers by JEL classification: C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions O40 - Economic Development, Technological Change, and Growth - - Economic Growth and Aggregate Productivity - - - General
References listed on IDEAS Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.:
Sowell, Fallaw, 1992.
"Maximum likelihood estimation of stationary univariate fractionally integrated time series models ,"
Journal of Econometrics ,
Elsevier, vol. 53(1-3), pages 165-188.
[Downloadable!] (restricted)
Sala-i-Martin, Xavier X, 1996.
"The Classical Approach to Convergence Analysis ,"
Economic Journal ,
Royal Economic Society, vol. 106(437), pages 1019-36, July.
[Downloadable!] (restricted)
Other versions:
Xavier Sala-i-Martin, 1995.
"The Classical Approach to Convergence Analysis ,"
Economics Working Papers
117, Department of Economics and Business, Universitat Pompeu Fabra.
[Downloadable!] Sala-i-martin, X., 1995.
"The Classical Approach to Convergence Analysis ,"
Papers
734, Yale - Economic Growth Center.
Sala-i-Martin, Xavier, 1995.
"The Classical Approach to Convergence Analysis ,"
CEPR Discussion Papers
1254, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted) Diebold, Francis X. & Inoue, Atsushi, 2001.
"Long memory and regime switching ,"
Journal of Econometrics ,
Elsevier, vol. 105(1), pages 131-159, November.
[Downloadable!] (restricted)
Other versions: Michelacci, C. & Zaffaroni, P., 2000.
"(Fractional) Beta Convergence ,"
Papers
383, Banca Italia - Servizio di Studi.
Other versions:
Michelacci, C. & Zaffaroni, P., 1998.
"(Fractional) Beta Convergence ,"
Papers
9803, Centro de Estudios Monetarios Y Financieros-.
Claudio Michelacci & Paolo Zaffaroni, 2000.
"(Fractional) Beta Convergence ,"
Temi di discussione (Economic working papers)
383, Bank of Italy, Economic Research Department.
[Downloadable!] Michelacci, Claudio & Zaffaroni, Paolo, 2000.
"(Fractional) beta convergence ,"
Journal of Monetary Economics ,
Elsevier, vol. 45(1), pages 129-153, February.
[Downloadable!] (restricted) Andrews, Donald W K, 1991.
"Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation ,"
Econometrica ,
Econometric Society, vol. 59(3), pages 817-58, May.
[Downloadable!] (restricted)
Other versions: B. Verspagen & G. Silverberg, 2000.
"A note on Michelacci and Zaffaroni, long memory, and time series of economic growth ,"
ECIS Working Papers
00.17, Eindhoven Centre for Innovation Studies, Eindhoven University of Technology.
[Downloadable!]
Other versions: Laura Mayoral, 2005.
"Further evidence on the statistical properties of Real GNP ,"
Economics Working Papers
955, Department of Economics and Business, Universitat Pompeu Fabra, revised Feb 2006.
[Downloadable!]
Other versions: Robert J. Barro & Xavier Sala-i-Martin, 1991.
"Convergence across States and Regions ,"
Brookings Papers on Economic Activity ,
Economic Studies Program, The Brookings Institution, vol. 22(1991-1), pages 107-182.
[Downloadable!]
Other versions: Chambers, Marcus J, 1998.
"Long Memory and Aggregation in Macroeconomic Time Series ,"
International Economic Review ,
Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(4), pages 1053-72, November.
Other versions: Ohanissian, Arek & Russell, Jeffrey R. & Tsay, Ruey S., 2008.
"True or Spurious Long Memory? A New Test ,"
Journal of Business & Economic Statistics ,
American Statistical Association, vol. 26, pages 161-175, April.
[Downloadable!] (restricted)
Tanaka, Katsuto, 1999.
"The Nonstationary Fractional Unit Root ,"
Econometric Theory ,
Cambridge University Press, vol. 15(04), pages 549-582, August.
[Downloadable!]
Luis A. Gil-Alana, 2005.
"Testing and forecasting the degree of integration in the US inflation rate ,"
Journal of Forecasting ,
John Wiley & Sons, Ltd., vol. 24(3), pages 173-187.
[Downloadable!]
Robert J. Barro, 1991.
"Economic Growth in a Cross Section of Countries ,"
NBER Working Papers
3120, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions:
Barro, R.J., 1989.
"Economic Growth In A Cross Section Of Countries ,"
RCER Working Papers
201, University of Rochester - Center for Economic Research (RCER).
Barro, Robert J, 1991.
"Economic Growth in a Cross Section of Countries ,"
The Quarterly Journal of Economics ,
MIT Press, vol. 106(2), pages 407-43, May.
[Downloadable!] (restricted) Jones, Charles I, 1995.
"Time Series Tests of Endogenous Growth Models ,"
The Quarterly Journal of Economics ,
MIT Press, vol. 110(2), pages 495-525, May.
[Downloadable!] (restricted)
Luis A. Gil-Alana, 2008.
"Fractional integration and structural breaks at unknown periods of time ,"
Journal of Time Series Analysis ,
Blackwell Publishing, vol. 29(1), pages 163-185, 01.
[Downloadable!] (restricted)
Granger, C. W. J., 1980.
"Long memory relationships and the aggregation of dynamic models ,"
Journal of Econometrics ,
Elsevier, vol. 14(2), pages 227-238, October.
[Downloadable!] (restricted)
Lee, Dongin & Schmidt, Peter, 1996.
"On the power of the KPSS test of stationarity against fractionally-integrated alternatives ,"
Journal of Econometrics ,
Elsevier, vol. 73(1), pages 285-302, July.
[Downloadable!] (restricted)
Other versions: Thomas Mikosch & Cătălin Stărică, 2004.
"Nonstationarities in Financial Time Series, the Long-Range Dependence, and the IGARCH Effects ,"
The Review of Economics and Statistics ,
MIT Press, vol. 86(1), pages 378-390, 01.
[Downloadable!] (restricted)
Velasco, Carlos, 2000.
"Non-Gaussian Log-Periodogram Regression ,"
Econometric Theory ,
Cambridge University Press, vol. 16(01), pages 44-79, February.
[Downloadable!]
Quah, Danny, 1993.
"Empirical cross-section dynamics in economic growth ,"
European Economic Review ,
Elsevier, vol. 37(2-3), pages 426-434, April.
[Downloadable!] (restricted)
Other versions: Lo, Andrew W, 1991.
"Long-Term Memory in Stock Market Prices ,"
Econometrica ,
Econometric Society, vol. 59(5), pages 1279-313, September.
[Downloadable!] (restricted)
Other versions: Hidalgo, Javier & Robinson, Peter M., 1996.
"Testing for structural change in a long-memory environment ,"
Journal of Econometrics ,
Elsevier, vol. 70(1), pages 159-174, January.
[Downloadable!] (restricted)
Joseph G. Haubrich & Andrew W. Lo, 2001.
"The sources and nature of long-term memory in aggregate output ,"
Economic Review ,
Federal Reserve Bank of Cleveland, issue Q II, pages 15-30.
[Downloadable!]
Lazarova, Stepana, 2005.
"Testing for structural change in regression with long memory processes ,"
Journal of Econometrics ,
Elsevier, vol. 129(1-2), pages 329-372.
[Downloadable!] (restricted)
Full
references Cited by : (explanations , Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.)
Gilad D. Aharonovitz & Nathan Skuza & Faysal Fahs, 2009.
"Can Integrity Replace Institutions? Theory and Evidence ,"
CESifo Working Paper Series
CESifo Working Paper No. , CESifo Group Munich.
[Downloadable!]
Stergios Skaperdas, 2009.
"The Costs of Organized Violence: A Review of the Evidence ,"
CESifo Working Paper Series
CESifo Working Paper No. , CESifo Group Munich.
[Downloadable!]
Other versions: Kai Carstensen & Oliver Hülsewig & Timo Wollmershäuser, 2009.
"Price Dispersion in the Euro Area: The Case of a Symmetric Oil Price Shock ,"
CESifo Working Paper Series
CESifo Working Paper No. , CESifo Group Munich.
[Downloadable!]
Luca Di Corato & Michele Moretto, 2009.
"Investing in Biogas: Timing, Technological Choice and the Value of Flexibility from Inputs Mix ,"
CESifo Working Paper Series
CESifo Working Paper No. , CESifo Group Munich.
[Downloadable!]
J. Atsu Amegashie, 2009.
"Incomplete Property Rights and Overinvestment ,"
CESifo Working Paper Series
CESifo Working Paper No. , CESifo Group Munich.
[Downloadable!]
Michele Moretto & Sergio Vergalli, 2009.
"Managing Migration through Conflicting Policies: an Option-theory Perspective ,"
CESifo Working Paper Series
CESifo Working Paper No. , CESifo Group Munich.
[Downloadable!]
Wladimir Raymond & Pierre Mohnen & Franz Palm & Sybrand Schim van der Loeff, 2009.
"Innovative Sales, R&D and Total Innovation Expenditures: Panel Evidence on their Dynamics ,"
CESifo Working Paper Series
CESifo Working Paper No. , CESifo Group Munich.
[Downloadable!]
Other versions:
Raymond Wladimir & Mohnen Pierre & Palm Franz & Schim van der Loeff Sybrand, 2009.
"Innovative Sales, R&D and Total Innovation Expenditures: Panel Evidence on their Dynamics ,"
Research Memoranda
030, Maastricht : METEOR, Maastricht Research School of Economics of Technology and Organization.
[Downloadable!] Wladimir Raymond & Pierre Mohnen & Franz Palm & Sybrand Schim van der Loeff, 2009.
"Innovative Sales, R&D and Total Innovation Expenditures: Panel Evidence on their Dynamics ,"
CIRANO Working Papers
2009s-29, CIRANO.
[Downloadable!] Raymond, Wladimir & Mohnen, Pierre & Palm, Franz & Schim van der Loeff, Sybrand, 2009.
"Innovative Sales, R&D and Total Innovation Expenditures:Panel Evidence on their Dynamics ,"
UNU-MERIT Working Paper Series
029, United Nations University, Maastricht Economic and social Research and training centre on Innovation and Technology.
[Downloadable!] Jarko Fidrmuc & Iikka Korhonen, 2009.
"The Impact of the Global Financial Crisis on Business Cycles in Asian Emerging Economies ,"
CESifo Working Paper Series
CESifo Working Paper No. , CESifo Group Munich.
[Downloadable!]
Other versions: Ernesto Reuben & Arno Riedl, 2009.
"Enforcement of Contribution Norms in Public Good Games with Heterogeneous Populations ,"
CESifo Working Paper Series
CESifo Working Paper No. , CESifo Group Munich.
[Downloadable!]
Other versions: Giovanni Villani, 2009.
"A Strategic R&D Investment with Flexible Development Time in Real Option Game Analysis ,"
CESifo Working Paper Series
CESifo Working Paper No. , CESifo Group Munich.
[Downloadable!]
Hans Fehr, 2009.
"Pension Funding and Individual Accounts in Economies with Life-cyclers and Myopes ,"
CESifo Working Paper Series
CESifo Working Paper No. , CESifo Group Munich.
[Downloadable!]
Guglielmo Maria Caporale & Luca Onorante & Paolo Paesani, 2009.
"Inflation and Inflation Uncertainty in the Euro Area ,"
CESifo Working Paper Series
CESifo Working Paper No. , CESifo Group Munich.
[Downloadable!]
Other versions: Hans Jarle Kind & Tore Nilssen & Lars Sørgard, 2009.
"Business Models for Media Firms: Does Competition Matter for how they Raise Revenue? ,"
CESifo Working Paper Series
CESifo Working Paper No. , CESifo Group Munich.
[Downloadable!]
Axel Dreher & Justina A.V. Fischer, 2009.
"Government Decentralization as a Disincentive for Transnational Terror? An Empirical Analysis ,"
CESifo Working Paper Series
CESifo Working Paper No. , CESifo Group Munich.
[Downloadable!]
Other versions:
Axel Dreher & Justina A. V. Fischer, 2009.
"Government decentralization as a disincentive for transnational terror? An empirical analysis ,"
Diskussionspapiere aus dem Institut für Volkswirtschaftslehre der Universität Hohenheim
313/2009, Department of Economics, University of Hohenheim, Germany.
[Downloadable!] Dreher, Axel & Fischer, Justina A.V., 2009.
"Government Decentralization as a Disincentive for Transnational Terror? An Empirical Analysis ,"
IZA Discussion Papers
4259, Institute for the Study of Labor (IZA).
[Downloadable!] Thushyanthan Baskaran & Lars P. Feld, 2009.
"Fiscal Decentralization and Economic Growth in OECD Countries: Is there a Relationship? ,"
CESifo Working Paper Series
CESifo Working Paper No. , CESifo Group Munich.
[Downloadable!]
Firouz Gahvari, 2009.
"Friedman Rule in a Model with Endogenous Growth and Cash-in-advance Constraint ,"
CESifo Working Paper Series
CESifo Working Paper No. , CESifo Group Munich.
[Downloadable!]
Andreas Wagener, 2009.
"Tax Competition, Relative Performance and Policy Imitation ,"
CESifo Working Paper Series
CESifo Working Paper No. , CESifo Group Munich.
[Downloadable!]
Ben J. Heijdra & Jochen O. Mierau, 2009.
"Annuity Market Imperfection, Retirement and Economic Growth ,"
CESifo Working Paper Series
CESifo Working Paper No. , CESifo Group Munich.
[Downloadable!]
Access and
download statistics Did you know? There are NEP reports in over 80 fields that deliver new research to your email.
This page was last updated on 2009-11-3.
This information is provided to you by IDEAS at the Department of Economics , College of Liberal Arts and Sciences , University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics .