English, Article, Journal or magazine article edition: Nelson-Plosser revisited: the ACF approach Karim M. Abadir; Giovanni Caggiano; Gabriel Talmain

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Bookmark: http://trove.nla.gov.au/version/145226
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Nelson-Plosser Revisited: the ACF Approach
Author
  • Karim M. Abadir
  • Giovanni Caggiano
  • Gabriel Talmain
Physical Description
  • preprint
Notes
  • 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. Classification-JEL: JEL E32, E52, E63
  • RePEc:rim:rimwps:18-08
  • 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.
  • RePEc:gla:glaewp:2005_7
Language
  • English
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