Trends, Random Walks and Persistence: An Empirical Study of Disaggregated U.S. Industrial Production

Robert Krol ()

The Review of Economics and Statistics, 1992, vol. 74, issue 1, 154-59

Abstract: Unit-root and variance-ratio tests are used to examine the trend properties and degree of persistence of industrial production in U.S. industries and comparable aggregates during the post-World War II period. The evidence from unit-root tests suggests that less than one-half of these industries have output that may be characterized as a random walk. The variance-ratio test results generally support this conclusion. Consistent with standard economic theory, fluctuations in durable-goods industries are less persistent than in nondurable goods industries. Finally, tests find relatively greater persistence in the aggregate industrial production data. Copyright 1992 by MIT Press.

Date: 1992
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