Long Memory in US Real Output per Capita

Guglielmo Maria Caporale and Luis Gil-Alana

No 891, Discussion Papers of DIW Berlin from DIW Berlin, German Institute for Economic Research

Abstract: This paper analyses the long memory properties of quarterly real output per capita in the US (1948Q1 - 2008Q3) using non-parametric, semi-parametric and parametric techniques. The results vary substantially depending on the methodology employed. Evidence of mean reversion is obtained in a parametric context if the underlying disturbances are weakly autocorrelated. We also examine the possibility of a structural break in the data and the results indicate that there is a slight reduction in the degree of persistence after the break that is found to occur in the second quarter of 1978.

Keywords: Fractional Integration; Long Memory; Convergence (search for similar items in EconPapers)
JEL-codes: C22 O40 (search for similar items in EconPapers)
Pages: 36 p.
Date: 2009
New Economics Papers: this item is included in nep-bec
References: Add references at CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
https://www.diw.de/documents/publikationen/73/diw_01.c.98081.de/dp891.pdf (application/pdf)

Related works:
Journal Article: Long memory in US real output per capita (2013)
Working Paper: Long Memory in US Real Output per Capita (2009)
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:diw:diwwpp:dp891

Access Statistics for this paper

More papers in Discussion Papers of DIW Berlin from DIW Berlin, German Institute for Economic Research Contact information at EDIRC.
Bibliographic data for series maintained by Bibliothek ().