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The Impact of Vintage on the Persistence of Gross Domestic Product Shocks

  • Christian Macaro


    (Faculty of Economics, Tor Vergata University.)

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    This paper aims to demonstrate that the data revision process affects the persistence of gross domestic product shocks. Results will contribute to the debate between unit root and linear models.

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    Paper provided by Tor Vergata University, CEIS in its series CEIS Research Paper with number 101.

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    Length: 11
    Date of creation: 21 May 2007
    Date of revision:
    Handle: RePEc:rtv:ceisrp:101
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    1. Croushore, Dean & Stark, Tom, 2001. "A real-time data set for macroeconomists," Journal of Econometrics, Elsevier, vol. 105(1), pages 111-130, November.
    2. Rudebusch, Glenn D, 1993. "The Uncertain Unit Root in Real GNP," American Economic Review, American Economic Association, vol. 83(1), pages 264-72, March.
    3. Francis X. Diebold & Glenn D. Rudebusch, 1988. "Long memory and persistence in aggregate output," Finance and Economics Discussion Series 7, Board of Governors of the Federal Reserve System (U.S.).
    4. Sowell, Fallaw, 1990. "The Fractional Unit Root Distribution," Econometrica, Econometric Society, vol. 58(2), pages 495-505, March.
    5. Gil-Alana, L. A. & Robinson, P. M., 1997. "Testing of unit root and other nonstationary hypotheses in macroeconomic time series," Journal of Econometrics, Elsevier, vol. 80(2), pages 241-268, October.
    6. Nelson, Charles R. & Plosser, Charles I., 1982. "Trends and random walks in macroeconmic time series : Some evidence and implications," Journal of Monetary Economics, Elsevier, vol. 10(2), pages 139-162.
    7. K Abadir & W Distaso & L Giraitis, . "Semiparametric estimation and inference for trending I(d) and related processes," Discussion Papers 05/15, Department of Economics, University of York.
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