Nelson-Plosser Revisited: the ACF Approach

Karim Abadir, Giovanni Caggiano and Gabriel Talmain ()

Working Papers from Business School - Economics, University of Glasgow

Abstract: We detect a new stylized fact about the common dynamics of macroeconomic and financial aggregates. The rate of decay of the memory (or persistence) of these series is depicted by their autocorrelation functions (ACFs), and they all fit very closely a parsimonious four-parameter functional form that we present. Not only does our formula fit the data better than the ones that arise from autoregressive models, but it also yields the correct shape of the ACF. This can help policymakers understand the lags with which an economy evolves, and its turning points.

JEL-codes: E32 (search for similar items in EconPapers)
Date: 2005-06
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9)

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Related works:
Journal Article: Nelson–Plosser revisited: The ACF approach (2013)
Working Paper: Nelson-Plosser revisited: the ACF approach (2008)
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Persistent link: https://EconPapers.repec.org/RePEc:gla:glaewp:2005_7

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