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Long Memory in US Real Output per Capita

Listed author(s):
  • 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.diw.de/documents/publikationen/73/diw_01.c.98081.de/dp891.pdf
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Paper provided by DIW Berlin, German Institute for Economic Research in its series Discussion Papers of DIW Berlin with number 891.

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Length: 36 p.
Date of creation: 2009
Handle: RePEc:diw:diwwpp:dp891
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