The Sources and Nature of Long-term Memory in the Business Cycle

Joseph Haubrich () and Andrew W. Lo ()

No 2951, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: This paper examines the stochastic properties of aggregate macroeconomic time series from the standpoint of fractionally integrated models, and focuses on the persistence of economic shocks. We develop a simple macroeconomic model that exhibits long-term dependence, a consequence of aggregation in the presence of real business cycles. We derive the relation between properties of fractionally integrated macroeconomic time series and those of microeconomic data, and discuss how fiscal policy may alter their stochastic behavior. To implement these results empirically, we employ a test for fractionally integrated time series based on the Hurst-Mandelbrot rescaled range. This test is robust to short-term dependence, and is applied to quarterly and annual real GNP to determine the sources and nature of long-term dependence in the business cycle.

Date: 1989-04
Note: ME
View list of references View citations in EconPapers

Downloads: (external link)
http://www.nber.org/papers/w2951.pdf (application/pdf)
Access to the full text is generally limited to series subscribers, however if the top level domain of the client browser is in a developing country or transition economy free access is provided. More information about subscriptions and free access is available at http://www.nber.org/wwphelp.html.

Related works:
Working Paper: The Sources and Nature of Long-Term Memory in the Business Cycle
Working Paper: The sources and nature of long-term memory in the business cycle (1991)
Working Paper: The Sources and Nature of Long-Term Memory in the Business Cycle
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:nbr:nberwo:2951

Ordering information: This working paper can be ordered from
http://www.nber.org/papers/w2951
The price is Paper copy available by mail.

Access Statistics for this paper

More papers in NBER Working Papers from National Bureau of Economic Research, Inc
Address: National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.
Contact information at EDIRC.
Series data maintained by ().