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An Empirical Investigation of Shock Persistence in Economic Time Series

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  • GEETHA MAYADUNNE
  • MERRAN EVANS
  • BRETT INDER

Abstract

Whether or not shocks persist has important implications in economics. An empirical study investigates this issue for key Australian and US macroeconomic time series. The existence of persistence is investigated by unit root tests and its magnitude estimated by recently proposed techniques. Results from these different approaches are compared.

Suggested Citation

  • Geetha Mayadunne & Merran Evans & Brett Inder, 1995. "An Empirical Investigation of Shock Persistence in Economic Time Series," The Economic Record, The Economic Society of Australia, vol. 71(2), pages 145-156, June.
    • Handle: RePEc:bla:ecorec:v:71:y:1995:i:2:p:145-156
    DOI: 10.1111/j.1475-4932.1995.tb01881.x
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    References listed on IDEAS

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    Cited by:

    1. Charley Xia and William Griffiths, 2012. "Bayesian Unit Root Testing: The Effect Of Choice Of Prior On Test Outcomes," Department of Economics - Working Papers Series 1152, The University of Melbourne.
    2. Surajit Deb, 2003. "Terms of Trade and Supply Response of Indian Agriculture: Analysis in Cointegration Framework," Working papers 115, Centre for Development Economics, Delhi School of Economics.
    3. Claudio Morana & Giacomo Sbrana, 2017. "Temperature anomalies, radiative forcing and ENSO," Working Paper series 17-06, Rimini Centre for Economic Analysis.
    4. McMillan, David G. & Wohar, Mark E., 2010. "Persistence and time-varying coefficients," Economics Letters, Elsevier, vol. 108(1), pages 85-88, July.
    5. David Greasley & Les Oxley, 1997. "Shock Persistence and Structural Change," The Economic Record, The Economic Society of Australia, vol. 73(223), pages 348-362, December.
    6. Giugale, Marcelo*Korobow, Adam, 2000. "Shock persistence and the choice of foreign exchange regime - an empirical note from Mexico," Policy Research Working Paper Series 2371, The World Bank.

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