Persistence of Shocks on Seasonal Processes

Tommaso Proietti

Journal of Applied Econometrics, 1996, vol. 11, issue 4, 383-98

Abstract: The paper addresses the issue of measuring the persistence of shocks on seasonally integrated processes observed at quarterly intervals. We show that the amplitude of the limiting cycle described by the cumulated impulse response function provides a parametric measure of persistence and that Cochrane's normalized variance ratio can correspondingly be extended as a non-parametric counterpart. For illustrative purposes the latter is applied to the Italian GDP and to the output of the agricultural sector. Copyright 1996 by John Wiley & Sons, Ltd.

Date: 1996
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