Nelson-Plosser revisited: the ACF approach

Karim M. Abadir (), Gabriel Talmain () and Giovanni Caggiano
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Karim M. Abadir: Imperial College London, London, UK and The Rimini Centre for Economic Analysis, Italy

Working Paper series from Rimini Centre for Economic Analysis

Abstract: We detect a new stylized fact about the common dynamics of macroeconomic and financial aggregates. The rate of decay of the memory of these series is depicted by their Auto-Correlation Functions (ACFs). They all share a common four-parameter functional form that we derive from the dynamics of an RBC model with heterogeneous firms. We find that, not only does our formula fit the data better than the ACFs that arise from autoregressive models, but it also yields the correct shape of the ACF. This can help policymakers understand better the lags with which an economy evolves, and the onset of its turning points.

JEL-codes: E32 E52 E63 (search for similar items in EconPapers)
Date: 2008-01
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Citations: View citations in EconPapers (6)

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http://www.rcea.org/RePEc/pdf/wp18_08.pdf

Related works:
Journal Article: Nelson–Plosser revisited: The ACF approach (2013)
Working Paper: Nelson-Plosser Revisited: the ACF Approach (2005)
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Persistent link: https://EconPapers.repec.org/RePEc:rim:rimwps:18_08

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