Intertemporal Properties of Real Output: A Bayesian Analysis
This paper analyzes the univariate properties of real output and extends traditional analyzes in three ways: (1) a Bayesian approach is taken; (2) extensive cross-country comparisons are performed; and (3) a model is developed which allows for the possibility that real output may be fractionally integrated. In addition, standard comparisons between ARIMA and deterministic trend models are made. The class of fractionally integrated processes, while possessing certain properties useful for generalization of ARIMA models, has received relatively little attention in the macroeconomic literature. Such models are valuable since they allow for greater flexibility in estimating the long-run persistence of shocks than do standard models.
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Volume (Year): 9 (1991)
Issue (Month): 3 (July)
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