Shock Persistence and Structural Change

David Greasley and Les Oxley

The Economic Record, 1997, vol. 73, issue 223, 348-362

Abstract: Testing for unit roots, and the related issue of measuring shock persistence, has attracted considerable econometric interest. The issue of the size of the random walk component raised by Cochrane (1988) has been extended by Coglcy (1990). Jaeger (1990), Leung (1992), and latterly Mayadunne, Evans and Inder (1995).

Date: 1997
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