The Great Depression and Output Persistence
AbstractThe persistence of shocks to aggregate output has been the subject of continuing investigation since Nelson and Plosser (1982) suggested they are largely permanent. Recent literature reaches mixed conclusions, largely due to disagreement about how to treat the Great Depression. We estimate output persistence based on a parametric bootstrap of a Markov-switching model for GDP 1870-1994 in which the economy can switch in and out of a turbulent state. Our results suggest that real shocks persist indefinitely if we drop the maintained assumption of homoskedasticity in favor of a Markov-switching representation of the Great Depression.
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Bibliographic InfoPaper provided by University of Washington, Department of Economics in its series Working Papers with number 0010.
Date of creation: Jun 2000
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- Christian J. Murray & Charles Nelson, 2000. "The Great Depression and Output Persistence," Discussion Papers in Economics at the University of Washington 0010, Department of Economics at the University of Washington.
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- Chris Murray & Charles Nelson, 1998.
"The Uncertain Trend in U.S. GDP,"
0074, University of Washington, Department of Economics.
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- Nelson, C-R & Murray, C-J, 1997. "The Uncertain Trend in U.S. GDP," Discussion Papers in Economics at the University of Washington 97-05, Department of Economics at the University of Washington.
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