Measuring the degree of persistence in the U.S. economic policy uncertainty index

Luis Gil-Alana and James Payne

Applied Economics Letters, 2020, vol. 27, issue 10, 831-835

Abstract: Researchers utilizing the U.S economic policy uncertainty index and its sub-categories need to be cognizant of the unique persistence profile of each index. We use fractional integration techniques to estimate the degree of persistence in the U.S. economic policy uncertainty index and its 11 sub-categories. The results indicate the estimated values of the differencing parameter, d, are in the interval (0, 1) supporting fractional integration and rejecting the classical models based on stationarity (d = 0) or unit roots (d = 1). Though there is a fair amount of heterogeneity across indices, shocks will be persistent, but mean reverting.

Date: 2020
References: Add references at CitEc
Citations: View citations in EconPapers (5)

Downloads: (external link)
http://hdl.handle.net/10.1080/13504851.2019.1646398 (text/html)
Access to full text is restricted to subscribers.

Related works:
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: https://EconPapers.repec.org/RePEc:taf:apeclt:v:27:y:2020:i:10:p:831-835

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEL20

DOI: 10.1080/13504851.2019.1646398

Access Statistics for this article

Applied Economics Letters is currently edited by Anita Phillips

More articles in Applied Economics Letters from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().