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Long Memory in US Real Output per Capita

  • Guglielmo Maria Caporale
  • Luis A. Gil-Alana

This paper analyses the long memory properties of quarterly real output per capita in the US (1948Q1 – 2008Q3) using non-parametric, semi-parametric and parametric techniques. The results vary substantially depending on the methodology employed. Evidence of mean reversion is obtained in a parametric context if the underlying disturbances are weakly autocorrelated. We also examine the possibility of a structural break in the data and the results indicate that there is a slight reduction in the degree of persistence after the break that is found to occur in the second quarter of 1978.

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File URL: http://www.cesifo-group.de/portal/page/portal/DocBase_Content/WP/WP-CESifo_Working_Papers/wp-cesifo-2009/wp-cesifo-2009-06/cesifo1_wp2671.pdf
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Paper provided by CESifo Group Munich in its series CESifo Working Paper Series with number 2671.

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Date of creation: 2009
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Handle: RePEc:ces:ceswps:_2671
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