Measuring persistence in aggregate output: ARMA models, fractionally integrated ARMA models and nonparametric procedures
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More about this item
KeywordsARMA model · fractionally integrated ARMA model · persistence · spectral density estimation;
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
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