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Some Univariate Time Series Properties Of Output

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Author Info
Luis Eduardo Arango T. ()
Abstract

This paper deals with the size of the random walk property of Colombia´s output in two periods 1925-1994 and 1950-1994. GDP and GDPPC were both found to be integrated of order one a result which is very well known. The sequences are highly persistent, specially in the period 1950- 1994. The forecast error when an innovation of 1 percent enters into the economy is about 1.5 percent in the very long run, when GDP is considered. The response is about 1.3 percent in the case of GDPPC, which seems to give support to the idea that population growth is a source of nonstationarity in some macroeconomic aggregates. For the larger sample (1925 - 1994) persistence is less. This result could cast some doubt on the method of estimation of GDP for the period 1925-1950. Finally, evidence of nonlinearity is found only in Hodrick-Prescott filtered variables dated between 1925 and 1994. This leaves open the question about whether the HP filter introduces nonlinearity in the high frequency variable that it generates.

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Paper provided by BANCO DE LA REPÚBLICA in its series BORRADORES DE ECONOMIA with number 003516.

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Length: 25
Date of creation: 31 Aug 1998
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Handle: RePEc:col:000094:003516

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  4. Campbell, John Y & Mankiw, N Gregory, 1987. "Are Output Fluctuations Transitory?," The Quarterly Journal of Economics, MIT Press, vol. 102(4), pages 857-80, November. [Downloadable!] (restricted)
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  5. Charles I. Plosser, 1991. "Money and Business Cycles: A Real Business Cycle Interpretation," NBER Working Papers 3221, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  6. Clive W. Granger & Timo Terasvirta & Heather M. Anderson, 1993. "Modeling Nonlinearity over the Business Cycle," NBER Chapters, in: Business Cycles, Indicators and Forecasting, pages 311-326 National Bureau of Economic Research, Inc. [Downloadable!]
  7. Campbell, J.Y. & Perron, P., 1991. "Pitfalls and Opportunities: What Macroeconomics should know about unit roots," Papers 360, Princeton, Department of Economics - Econometric Research Program.
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  8. Terasvirta, T & Anderson, H M, 1992. "Characterizing Nonlinearities in Business Cycles Using Smooth Transition Autoregressive Models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 7(S), pages S119-36, Suppl. De. [Downloadable!] (restricted)
  9. Hodrick, Robert J & Prescott, Edward C, 1997. "Postwar U.S. Business Cycles: An Empirical Investigation," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 29(1), pages 1-16, February.
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  10. Park, Gonyung, 1996. "The role of detrending methods in a model of real business cycles," Journal of Macroeconomics, Elsevier, vol. 18(3), pages 479-501. [Downloadable!] (restricted)
  11. Perron, P., 1990. "Further Evidence On Breaking Trend Functions In Macroeconomics Variables," Papers 350, Princeton, Department of Economics - Econometric Research Program.
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  12. Cochrane, John H, 1988. "How Big Is the Random Walk in GNP?," Journal of Political Economy, University of Chicago Press, vol. 96(5), pages 893-920, October. [Downloadable!] (restricted)
  13. Pischke, Jorn-Steffen, 1991. "Measuring persistence in the presence of trend breaks : The case of US GNP," Economics Letters, Elsevier, vol. 36(4), pages 379-384, August. [Downloadable!] (restricted)
  14. William Easterly, 1991. "La Macroeconomía Del Déficit Del Sector Público El Caso De Colombia," ENSAYOS SOBRE POLÍTICA ECONÓMICA, BANCO DE LA REPÚBLICA - ESPE. [Downloadable!]
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