Some Univariate Time Series Properties of Output

Luis Arango Thomas

Borradores de Economia from Banco de la Republica de Colombia

Abstract: This paper deals with the size of the random walk property of Colombia's output in two periods 1925-1994 and 1950-1994. GDP and GDPPC were both found to be integrated of order one a result which is very well known. The sequences are highly persistent, specially in the period 1950-1994. The forecast error when an innovation of 1 percent enters into the economy is about 1.5 percent in the very long run, when GDP is considered. The response is about 1.3 percent in the case of GDPPC, which seems to give support to the idea that population growth is a source of nonstationarity in some macroeconomic aggregates. For the larger sample(1925-1994) persistence is less. This result could cast some doubt on the method of estimation of GDP for the period 1925-1950. Finally, evidence of nonlinearity is found only in Hodrick- Prescott filtered variables dated between 1925 and 1994. This leaves open the question about whether the HP filter introduces nonlinearity in the hight frequency variable that it generates.

Keywords: Unit roots; persistence; nonlinearities; logistic function; ESTAR and; LSTAR. models. (search for similar items in EconPapers)
Date: 1998-08
New Economics Papers: this item is included in nep-ets
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Citations: View citations in EconPapers (2)

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https://doi.org/10.32468/be.100 (application/pdf)

Related works:
Journal Article: Some univariate time series properties of output (1998)
Working Paper: SOME UNIVARIATE TIME SERIES PROPERTIES OF OUTPUT (1998)
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Persistent link: https://EconPapers.repec.org/RePEc:bdr:borrec:100

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