Temporary and permanent shocks in GDP for France, the United Kingdom and the United States

Chocs temporaires et permanents dans le PIB de la France, du Royaume-Uni et des États-Unis

Olivier Darné and Claude Diebolt

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Abstract: In this paper, infrequent large temporary and permanent shocks that have affected the quarterly GDP series for France, the United Kingdom and the United States are analyzed in the post World War II period using the outlier method. Strong proof of permanent and/or transitory shocks are found, resulting from (national and international) economic, political and monetary events. We show that the persistence in GDP for France and the United States is associated to infrequent large shocks as well as permanent shocks that are assumed to be randomly generated every observation period as in the case of a random walk.

Keywords: Temporary and permanent shocks; Unit root; GDP; Outliers; Cliometrics; Chocs temporaires et permanents; Racine unitaire; PIB; Point atypique; Cliométrie (search for similar items in EconPapers)
Date: 2006
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Published in Revue d'économie politique, 2006, 1 (116), pp.65-78. ⟨10.3917/redp.161.0065⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-00279389

DOI: 10.3917/redp.161.0065

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