English, Article, Journal or magazine article edition: Long Memory in US Real Output per Capita Guglielmo Maria Caporale; Luis A. Gil-Alana

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Bookmark: http://trove.nla.gov.au/version/147737
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Long Memory in US Real Output per Capita
Author
  • Guglielmo Maria Caporale
  • Luis A. Gil-Alana
Physical Description
  • preprint
Notes
  • RePEc:diw:diwwpp:dp891
  • This paper analyses the long memory properties of quarterly real output per capita in the US (1948Q1 – 2008Q3) using non-parametric, semi-parametric and parametric techniques. The results vary substantially depending on the methodology employed. Evidence of mean reversion is obtained in a parametric context if the underlying disturbances are weakly autocorrelated. We also examine the possibility of a structural break in the data and the results indicate that there is a slight reduction in the degree of persistence after the break that is found to occur in the second quarter of 1978.
  • fractional integration, long memory, convergence
  • RePEc:ces:ceswps:_2671
Language
  • English
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