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Citations for "How Big Is the Random Walk in GNP?"

by Cochrane, John H

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  1. Renu Kohli, 2004. "Real Exhange Rate Stationarity in Managed Floats: Evidence From India," International Finance 0405014, EconWPA.
  2. West, Kenneth D, 1988. "On the Interpretation of Near Random-walk Behavior in GNP," American Economic Review, American Economic Association, vol. 78(1), pages 202-09, March.
  3. Reis, Ricardo, 2005. "The Time-Series Properties of Aggregate Consumption: Implications for the Costs of Fluctuations," CEPR Discussion Papers 5054, C.E.P.R. Discussion Papers.
  4. Bhar, Ramaprasad & Hamori, Shigeyuki, 2004. "Empirical characteristics of the permanent and transitory components of stock return: analysis in a Markov switching heteroscedasticity framework," Economics Letters, Elsevier, vol. 82(2), pages 157-165, February.
  5. de Jong, Frank & Nijman, Theo & Roell, Ailsa, 1996. "Price effects of trading and components of the bid-ask spread on the Paris Bourse," Journal of Empirical Finance, Elsevier, vol. 3(2), pages 193-213, June.
  6. Boyan Jovanovic & Saul Lach, 1991. "The Diffusion of Technology and Inequality Among Nations," NBER Working Papers 3732, National Bureau of Economic Research, Inc.
  7. Lehn, Kenneth & Patro, Sukesh & Zhao, Mengxin, 2007. "Governance indexes and valuation: Which causes which?," Journal of Corporate Finance, Elsevier, vol. 13(5), pages 907-928, December.
  8. John Y. Campbell & Pierre Perron, 1991. "Pitfalls and Opportunities: What Macroeconomists Should Know About Unit Roots," NBER Technical Working Papers 0100, National Bureau of Economic Research, Inc.
  9. R. MacDonald & Hassan Molana, 2000. "Does Consumption Deviate from the Permanent Income Path? An Empirical Study of UK Data," Dundee Discussion Papers in Economics 107, Economic Studies, University of Dundee.
  10. Lee, Chun I. & Pan, Ming-Shiun & Liu, Y. Angela, 2001. "On market efficiency of Asian foreign exchange rates: evidence from a joint variance ratio test and technical trading rules," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 11(2), pages 199-214, June.
  11. McAdam, Peter & Mestre, Ricardo, 2008. "Evaluating macro-economic models in the frequency domain: A note," Economic Modelling, Elsevier, vol. 25(6), pages 1137-1143, November.
  12. Indira Devi P & K R Shanmugam & M. Jayasree, 2013. "Compensating Wages for Occupational Risks of Farm Workers in India," Working Papers id:5328, eSocialSciences.
  13. Bennett T. McCallum, 1993. "Unit Roots in Macroeconomic Time Series: Some Critical Issues," NBER Working Papers 4368, National Bureau of Economic Research, Inc.
  14. Robert Dixon & David Shepherd, 2006. "The Cyclical Dynamics and Volatility of Australian Output and Employment," Department of Economics - Working Papers Series 968, The University of Melbourne.
  15. John H. Cochrane, 2008. "The Dog That Did Not Bark: A Defense of Return Predictability," Review of Financial Studies, Society for Financial Studies, vol. 21(4), pages 1533-1575, July.
  16. Uwe Hassler & Matei Demetrescu, 2005. "Spurious Persistence and Unit Roots due to Seasonal Differencing: The Case of Inflation Rates," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), Justus-Liebig University Giessen, Department of Statistics and Economics, vol. 225(4), pages 413-426, July.
  17. Rabanal, Cristian & Baronio, Alfredo Mario, 2010. "Alternativas para la modelización de tendencias y ciclos en la economía argentina, 1880-2009/Alternatives for Modeling Trends and Cycles in Argentina's Economy, 1880 - 2009," Estudios de Economía Aplicada, Estudios de Economía Aplicada, vol. 28, pages 651-670, Diciembre.
  18. Paul Cashin & C. John McDermott, 1998. "Terms of Trade Shocks and the Current Account," IMF Working Papers 98/177, International Monetary Fund.
  19. Luis Eduardo Arango T., 1998. "Some Univariate Time Series Properties Of Output," BORRADORES DE ECONOMIA 003516, BANCO DE LA REPÚBLICA.
  20. Perron, Pierre & Rodriguez, Gabriel, 2003. "GLS detrending, efficient unit root tests and structural change," Journal of Econometrics, Elsevier, vol. 115(1), pages 1-27, July.
  21. Fazio, Giorgio & MacDonald, Ronald & Melitz, Jacques, 2005. "Trade Costs, Trade Balances and Current Accounts: An Application of Gravity to Multilateral Trade," CEPR Discussion Papers 5137, C.E.P.R. Discussion Papers.
  22. Daniel L. Tortorice, 2014. "Equity Return Predictability, Time Varying Volatility and Learning About the Permanence of Shocks," Working Papers 70, Brandeis University, Department of Economics and International Businesss School.
  23. Mariam Camarero & Josep Lluis Carrion Silvestre & Cecilio Tamarit, 2005. "Unemployment dynamics and NAIRU estimates for CEECs : A univariate approach," Working Papers in Economics 131, Universitat de Barcelona. Espai de Recerca en Economia.
  24. Nelson, C-R & Murray, C-J, 1997. "The Uncertain Trend in U.S. GDP," Working Papers 97-05, University of Washington, Department of Economics.
  25. Scheide, Joachim, 1990. "Die westdeutsche Konjunktur: Nur ein Random Walk?," Open Access Publications from Kiel Institute for the World Economy 1437, Kiel Institute for the World Economy (IfW).
  26. John Y. Campbell, 1993. "Why Long Horizons: A Study of Power Against Persistent Alternatives," NBER Technical Working Papers 0142, National Bureau of Economic Research, Inc.
  27. Ciaran Driver & Paul Temple & Giovanni Urga, 2005. "Explaining the Diversity of Industry Investment Responses to Uncertainty Using Long Run Panel Survey Data," School of Economics Discussion Papers 0405, School of Economics, University of Surrey.
  28. Peter Wickham & Carmen Reinhart, 1994. "Commodity Prices: Cyclical Weakness or Secular Decline?," IMF Working Papers 94/7, International Monetary Fund.
  29. Bley, Jorg, 2011. "Are GCC stock markets predictable?," Emerging Markets Review, Elsevier, vol. 12(3), pages 217-237, September.
  30. Cosme Vodounou, 1998. "Inférence fondée sur les statistiques des rendements de long terme," CIRANO Working Papers 98s-20, CIRANO.
  31. Albert Marcet & Andrew Scott, 2001. "Debt and deficit fluctuations and the structure of bond markets," Economics Working Papers 558, Department of Economics and Business, Universitat Pompeu Fabra, revised Jul 2003.
  32. de Jong, F.C.J.M. & Nijman, T.E. & Röell, A.A., 1996. "Price effects of trading and components of the bid-ask spread on the Paris Bourse," Other publications TiSEM 08f5fa19-14b7-4bc8-ba07-1, Tilburg University, School of Economics and Management.
  33. Albers, Scott & Albers, Andrew L., 2011. "The Golden Mean, the Arab Spring and a 10-step analysis of American economic history," MPRA Paper 33004, University Library of Munich, Germany.
  34. Agustin Roitman & Christian Daude, 2011. "Imperfect Information and Saving in a Small Open Economy," IMF Working Papers 11/60, International Monetary Fund.
  35. 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.
  36. Okay, Nesrin, 1998. "Asymmetric Volatility Dynamics: Evidence From the Istanbul Stock Exchange," MPRA Paper 52812, University Library of Munich, Germany.
  37. Ossama Mikhail & Curtis J. Eberwein & Jagdish Handa, 2003. "Testing and Estimating Persistence in Canadian Unemployment," Econometrics 0311004, EconWPA.
  38. Graflund, Andreas, 2001. "Some Time Serial Properties of the Swedish Real Estate Stock Market, 1939-1998," Working Papers 2001:8, Lund University, Department of Economics.
  39. Choudhry, Taufiq & Luintel, Kul B., 2001. "The long-run behaviour of the real exchange rate: evidence from colonial Pennsylvania," Economics Letters, Elsevier, vol. 74(1), pages 25-30, December.
  40. Olivier Jean Blanchard & Danny Quah, 1988. "The Dynamic Effects of Aggregate Demand and Supply Disturbance," Working papers 497, Massachusetts Institute of Technology (MIT), Department of Economics.
  41. Jess Benhabib & Boyan Jovanovic, 1989. "Externalities and Growth Accounting," NBER Working Papers 3190, National Bureau of Economic Research, Inc.
  42. Mark Aguiar & Gita Gopinath, 2004. "Emerging market business cycles: the cycle is the trend," Working Papers 04-4, Federal Reserve Bank of Boston.
  43. James Morley & Charles Nelson & Eric Zivot, 2002. "Why Are Beveridge-Nelson and Unobserved-Component Decompositions of GDP So Different?," Working Papers UWEC-2002-01, University of Washington, Department of Economics.
  44. Amélie Charles & Olivier Darne, 2009. "Variance ratio tests of random walk: An overview," Post-Print hal-00771078, HAL.
  45. Emine Boz & Christian Daude & Ceyhun Bora Durdu, 2008. "Emerging market business cycles revisited: learning about the trend," International Finance Discussion Papers 927, Board of Governors of the Federal Reserve System (U.S.).
  46. Shively, Philip A., 2004. "The size and dynamic effect of aggregate-demand and aggregate-supply disturbances in expansionary and contractionary regimes," Journal of Macroeconomics, Elsevier, vol. 26(1), pages 83-99, March.
  47. Arrow, Kenneth J. & Cropper, Maureen L. & Gollier, Christian & Groom, Ben & Heal, Geoffrey M. & Newell, Richard G. & Nordhaus, William D. & Pindyck, Robert S. & Pizer, William A. & Portney, Paul R. & , 2012. "How Should Benefits and Costs Be Discounted in an Intergenerational Context? The Views of an Expert Panel," Discussion Papers dp-12-53, Resources For the Future.
  48. Daniel Levy & Hashem Dezhbakhsh, 2002. "On the Typical Spectral Shape of an Economic Variable," Emory Economics 0203, Department of Economics, Emory University (Atlanta).
  49. Czudaj, Robert & Hanck, Christoph, 2013. "Nonstationary-Volatility Robust Panel Unit Root Tests and the Great Moderation," Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79734, Verein für Socialpolitik / German Economic Association.
  50. Naci H. Mocan, 1989. "Business Cycles and Fertility Dynamics in the U.S.: A Vector-Autoregressive Model," NBER Working Papers 3177, National Bureau of Economic Research, Inc.
  51. Aghion, P. & Howitt, P., 1990. "A Model Of Growth Through Creative Destruction," DELTA Working Papers 90-12, DELTA (Ecole normale supérieure).
  52. Escanciano, J. Carlos & Velasco, Carlos, 2006. "Testing the martingale difference hypothesis using integrated regression functions," Computational Statistics & Data Analysis, Elsevier, vol. 51(4), pages 2278-2294, December.
  53. Charles Engel, 1995. "Accounting for U.S. Real Exchange Rate Changes," NBER Working Papers 5394, National Bureau of Economic Research, Inc.
  54. Ostergaard, Charlotte & Sørensen, Bent E & Yosha, Oved, 2001. "Consumption and Aggregate Constraints: Evidence from US States and Canadian Provinces," CEPR Discussion Papers 2947, C.E.P.R. Discussion Papers.
  55. Lawrence J. Christiano & Martin Eichenbaum, 1990. "Unit roots in real GNP: do we know, and do we care?," Working Paper Series, Macroeconomic Issues 90-2, Federal Reserve Bank of Chicago.
  56. John Keating, 2004. "Interpreting Permanent and Transitory Shocks to Output When Aggregate Demand May Not Be Neutral in the Long-run," Econometric Society 2004 North American Summer Meetings 608, Econometric Society.
  57. Zivot, Eric & Andrews, Donald W K, 2002. "Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 25-44, January.
  58. Hanck Christoph, 2009. "Nonstationary-Volatility Robust Panel Unit Root Tests and the Great Moderation," Research Memorandum 009, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
  59. Ronald Mac Donald, 1998. "What Do We Really Know About Real Exchange Rates?," Working Papers 28, Oesterreichische Nationalbank (Austrian Central Bank).
  60. Benjamin Miranda Tabak & Eduardo José Araújo Lima, 2002. "The Effects of the Brazilian ADRs Program on Domestic Market Efficiency," Working Papers Series 43, Central Bank of Brazil, Research Department.
  61. Leon, Javier & Soto, Raimundo, 1995. "Structural breaks and long-run trends in commodity prices," Policy Research Working Paper Series 1406, The World Bank.
  62. Laura Spierdijk & Jacob Bikker, 2012. "Mean Reversion in Stock Prices: Implications for Long-Term Investors," DNB Working Papers 343, Netherlands Central Bank, Research Department.
  63. Kaehler, Jürgen & Marnet, Volker, 1993. "Markov-switching models for exchange-rate dynamics and the pricing of foreign-currency options," ZEW Discussion Papers 93-03, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
  64. William A. Brock & Blake LeBaron, 1990. "Liquidity Constraints in Production-Based Asset-Pricing Models," NBER Chapters, in: Asymmetric Information, Corporate Finance, and Investment, pages 231-256 National Bureau of Economic Research, Inc.
  65. Luca Benati, 2006. "UK monetary regimes and macroeconomic stylised facts," Bank of England working papers 290, Bank of England.
  66. Daisuke Nagakura, 2011. "How Are Shocks to Trend and Cycle Correlated? A Simple Methodology for Unidentified Unobserved Components Models," Global COE Hi-Stat Discussion Paper Series gd10-172, Institute of Economic Research, Hitotsubashi University.
  67. Robert J. Barro, 2006. "On the Welfare Costs of Consumption Uncertainty," NBER Working Papers 12763, National Bureau of Economic Research, Inc.
  68. Fatás, Antonio, 1996. "Endogenous Growth and Stochastic Trends," CEPR Discussion Papers 1340, C.E.P.R. Discussion Papers.
  69. Christina D. Romer & David H. Romer, 1989. "Does Monetary Policy Matter? A New Test in the Spirit of Friedman and Schwartz," NBER Chapters, in: NBER Macroeconomics Annual 1989, Volume 4, pages 121-184 National Bureau of Economic Research, Inc.
  70. Smoluk, Herbert J. & Vasconcellos, Geraldo M. & Kramer, Jonathan K., 1998. "Random walks in the U.K. pound/ U.S. dollar exchange rates," International Review of Financial Analysis, Elsevier, vol. 7(1), pages 65-82.
  71. Francis X. Diebold & Abdelhak S. Senhadji, 1996. "Deterministic vs. Stochastic Trend in U.S. GNP, Yet Again," NBER Working Papers 5481, National Bureau of Economic Research, Inc.
  72. Daniel Levy & Hashem Dezhbakhsh, 2002. "International Evidence on Output Fluctuation and Shock Persistence," Working Papers 2002-17, Bar-Ilan University, Department of Economics.
  73. Albers, Scott, 2014. "On the architecture of the rings of Saturn: An “identity” theory of the distribution of gaps within rings," MPRA Paper 55632, University Library of Munich, Germany.
  74. Durlauf, Steven N., 1991. "Spectral based testing of the martingale hypothesis," Journal of Econometrics, Elsevier, vol. 50(3), pages 355-376, December.
  75. Alvarez, Fernando & Jermann, Urban J., 2001. "The Size of the Permanent Component of Asset Pricing Kernels," Working Papers 01-4, University of Pennsylvania, Wharton School, Weiss Center.
  76. Camacho Maximo & Perez Quiros Gabriel, 2007. "Jump-and-Rest Effect of U.S. Business Cycles," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 11(4), pages 1-39, December.
  77. Kenneth A. Froot, 1993. "Currency Hedging over Long Horizons," NBER Working Papers 4355, National Bureau of Economic Research, Inc.
  78. Lo, Andrew W. & MacKinlay, A. Craig, 1989. "The size and power of the variance ratio test in finite samples : A Monte Carlo investigation," Journal of Econometrics, Elsevier, vol. 40(2), pages 203-238, February.
  79. Hashem Dezhbakhsh & Daniel Levy, 2005. "Periodic Properties of Interpolated Time Series," Econometrics 0505004, EconWPA.
  80. Zsolt Becsi, 1994. "Indicators of the general price level and inflation," Economic and Financial Policy Review, Federal Reserve Bank of Dallas, issue Q IV, pages 27-39.
  81. Fagiolo, Giorgio & Dosi, Giovanni, 2003. "Exploitation, exploration and innovation in a model of endogenous growth with locally interacting agents," Structural Change and Economic Dynamics, Elsevier, vol. 14(3), pages 237-273, September.
  82. Laibson, David I. & Fuster, Andreas & Mendel, Brock, 2010. "Natural Expectations and Macroeconomic Fluctuations," Scholarly Articles 9938147, Harvard University Department of Economics.
  83. Ramaprasad Bhar, 2010. "Stochastic Filtering With Applications In Finance:," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 7736, December.
  84. Stefania Villa, 2005. "Determinants of growth in Italy. A time series analysis," Quaderni DSEMS 24-2005, Dipartimento di Scienze Economiche, Matematiche e Statistiche, Universita' di Foggia.
  85. Elwood, S. Kirk, 1998. "Is the persistence of shocks to output asymmetric?," Journal of Monetary Economics, Elsevier, vol. 41(2), pages 411-426, April.
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  88. Stephen G. Cecchetti & Pok-Sang Lam & Nelson Mark, 1998. "Asset Pricing under Distorted Beliefs: Are Equity Returns Too Good to Be True?," Working Papers 98-04, Ohio State University, Department of Economics.
  89. Panigo, Demian & Féliz, Mariano & Perez, Pablo, 2004. "Macro and microeconomic persistence in regional unemployment. The case of Argentina," CEPREMAP Working Papers (Couverture Orange) 0403, CEPREMAP.
  90. McPherson, Matthew Q. & Palardy, Joseph & Vilasuso, Jon, 2005. "Are international stock returns predictable?: An application of spectral shape tests corrected for heteroskedasticity," Journal of Economics and Business, Elsevier, vol. 57(2), pages 103-118.
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  93. Sebastian Edwards, 1996. "A Tale of Two Crises: Chile and Mexico," NBER Working Papers 5794, National Bureau of Economic Research, Inc.
  94. Joseph G. Haubrich & Andrew W. Lo, . "The Sources and Nature of Long-Term Memory in the Business Cycle," Rodney L. White Center for Financial Research Working Papers 05-89, Wharton School Rodney L. White Center for Financial Research.
  95. Rudiger Kiesel & William Perraudin & Alex Taylor, 2001. "The structure of credit risk: spread volatility and ratings transitions," Bank of England working papers 131, Bank of England.
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  99. Yamane, Linus, 1998. "The insider-outsider model and Japanese labor unions," Japan and the World Economy, Elsevier, vol. 10(2), pages 157-171, April.
  100. Kegiang Hou & Alok Johri, 2013. "Intangible Capital and the Excess Volatility of Aggregate Profits," Department of Economics Working Papers 2013-04, McMaster University.
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  105. Sheridan Titman & Ko Wang & Jing Yang, 2014. "The Dynamics of Housing Prices," NBER Working Papers 20418, National Bureau of Economic Research, Inc.
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  107. Luger, Richard, 2001. "Exact Non-Parametric Tests for a Random Walk with Unknown Drift under Conditional Heteroscedasticity," Working Papers 01-2, Bank of Canada.
  108. Gerald Carlino & Leonard Mills, 1993. "Testing neoclassical convergence in regional incomes and earnings," Working Papers 93-22, Federal Reserve Bank of Philadelphia.
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  114. Raimundo Soto & Matías Tapia, 2001. "Seasonal cointegration and the stability of the demand for money," Working Papers Central Bank of Chile 103, Central Bank of Chile.
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  135. Charles Engel, 1996. "Long-Run PPP May Not Hold After All," NBER Working Papers 5646, National Bureau of Economic Research, Inc.
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  140. Hassler, Uwe, 2014. "Persistence under temporal aggregation and differencing," Economics Letters, Elsevier, vol. 124(2), pages 318-322.
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  144. Tom Holden, 2012. "Medium-frequency cycles and the remarkable near trend-stationarity of output," School of Economics Discussion Papers 1412, School of Economics, University of Surrey.
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