The Relative Importance of Permanent and Transitory Components: Identi- fication and Some Theoretical Bounds

Danny Quah ()

No 106, NBER Technical Working Papers from National Bureau of Economic Research, Inc

Abstract: Much macroeconometric discussion has recently emphasized the economic significance of the size of the permanent component in GNP. Consequently, a large literature has developed that tries to estimate this magnitude measured, essentially, as the spectral density of increments in GNP at frequency zero. This paper shows that unless the permanent component is a random walk this attention has been misplaced: in general, that quantity does not identify the magnitude of the permanent component. Further, by developing bounds on reasonable measures of this magnitude, the paper shows that a random walk specification is biased towards establishing the permanent component as important.

Date: 1991-06
Note: EFG
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

Downloads: (external link)
http://www.nber.org/papers/t0106.pdf (application/pdf)

Related works:
Journal Article: The Relative Importance of Permanent and Transitory Components: Identification and Some Theoretical Bounds (1992)
Working Paper: The Relative Importance of Permanent and Transitory Components: Identification and Some Theoretical Bounds (1991)
Working Paper: The Relative Importance of Permanent and Transitory Components: Identification and Some Theoretical Bounds (1988)
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:nbr:nberte:0106

Ordering information: This working paper can be ordered from
http://www.nber.org/papers/t0106

Access Statistics for this paper

More papers in NBER Technical Working Papers from National Bureau of Economic Research, Inc National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.. Contact information at EDIRC.
Bibliographic data for series maintained by ().