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The Impact of Vintage on the Persistence of Gross Domestic Product Shocks

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  • Christian Macaro

    ()
    (Faculty of Economics, Tor Vergata University.)

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    Abstract

    This paper aims to demonstrate that the data revision process affects the persistence of gross domestic product shocks. Results will contribute to the debate between unit root and linear models.

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    File URL: ftp://www.ceistorvergata.it/repec/rpaper/No-101.pdf
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    Bibliographic Info

    Paper provided by Tor Vergata University, CEIS in its series CEIS Research Paper with number 101.

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    Length: 11
    Date of creation: 21 May 2007
    Date of revision:
    Handle: RePEc:rtv:ceisrp:101

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    Postal: CEIS - Centre for Economic and International Studies - Faculty of Economics - University of Rome "Tor Vergata" - Via Columbia, 2 00133 Roma
    Phone: +390672595601
    Fax: +39062020687
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    Web page: http://www.ceistorvergata.it
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    Postal: CEIS - Centre for Economic and International Studies - Faculty of Economics - University of Rome "Tor Vergata" - Via Columbia, 2 00133 Roma
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    Web: http://www.ceistorvergata.it

    Related research

    Keywords: Revisions; GDP; Long memory;

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    1. 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.
    2. Rudebusch, Glenn D, 1993. "The Uncertain Unit Root in Real GNP," American Economic Review, American Economic Association, vol. 83(1), pages 264-72, March.
    3. Dean Croushore & Tom Stark, 1999. "A real-time data set for macroeconomists," Working Papers 99-4, Federal Reserve Bank of Philadelphia.
    4. Nelson, Charles R. & Plosser, Charles I., 1982. "Trends and random walks in macroeconmic time series : Some evidence and implications," Journal of Monetary Economics, Elsevier, vol. 10(2), pages 139-162.
    5. Diebold, Francis X. & Rudebusch, Glenn D., 1989. "Long memory and persistence in aggregate output," Journal of Monetary Economics, Elsevier, vol. 24(2), pages 189-209, September.
    6. K Abadir & W Distaso & L Giraitis, . "Semiparametric estimation and inference for trending I(d) and related processes," Discussion Papers 05/15, Department of Economics, University of York.
    7. Sowell, Fallaw, 1990. "The Fractional Unit Root Distribution," Econometrica, Econometric Society, vol. 58(2), pages 495-505, March.
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