Finnish GNP-Series 1954/I-1990/IV: Small Shock Persistence or Trend Stationarity? Some Evidence with Variance Ratio Estimates

Mikael Linden

Empirical Economics, 1995, vol. 20, issue 2, 333-49

Abstract: The "shock persistence" of Finnish adjusted quarterly real GNP series in logarithms from 1954:1 to 1990:4 is analyzed using variance ratio estimators. The results indicate that the random walk component of the series is not big. The small sample properties of variance ratio estimators are studied using empirical distribution derived from simulations. The persistence measures calculated via the ARIMA modelling of the lnGNP[subscript t] series are biased upwards. The sampling properties show that the simple random walk model is not an alternative model for the lnGNP. A trend stationary alternative, an AR(2) process, gives almost the same "shock persistence" measures as the assumed unit root processes.

Date: 1995
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