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Long Memory in US Real Output per Capita

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  • Guglielmo Maria Caporale
  • Luis A. Gil-Alana

Abstract

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.

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File URL: http://www.diw.de/documents/publikationen/73/diw_01.c.98081.de/dp891.pdf
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Bibliographic Info

Paper provided by DIW Berlin, German Institute for Economic Research in its series Discussion Papers of DIW Berlin with number 891.

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Length: 36 p.
Date of creation: 2009
Date of revision:
Handle: RePEc:diw:diwwpp:dp891

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Keywords: Fractional Integration; Long Memory; Convergence;

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Cited by:
  1. Michael Funke & Marc Gronwald, 2009. "A Convex Hull Approach to Counterfactual Analysis of Trade Openness and Growth," Quantitative Macroeconomics Working Papers 20906, Hamburg University, Department of Economics.
  2. Tschernig, Rolf & Weber, Enzo & Weigand, Roland, 2013. "Long- versus medium-run identification in fractionally integrated VAR models," University of Regensburg Working Papers in Business, Economics and Management Information Systems 476, University of Regensburg, Department of Economics.
  3. Guglielmo Maria Caporale & Marinko Skare, 2014. "Long Memory in UK Real GDP, 1851-2013: An ARFIMA-FIGARCH Analysis," Discussion Papers of DIW Berlin 1395, DIW Berlin, German Institute for Economic Research.
  4. Kitov, Ivan, 2012. "Why price inflation in developed countries is systematically underestimated," MPRA Paper 39059, University Library of Munich, Germany.

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