An Empirical Investigation of Shock Persistence in Economic Time Series*

Geetha Mayadunne, Merran Evans and Brett Inder

The Economic Record, 1995, vol. 71, issue 2, 145-156

Abstract: Whether or not shocks persist has important implications in economics. An empirical study investigates this issue for key Australian and US macroeconomic time series. The existence of persistence is investigated by unit root tests and its magnitude estimated by recently proposed techniques. Results from these different approaches are compared.

Date: 1995
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