Do shocks permanently change output? : Local persistency in economic time series

Detalhes bibliográficos
Autor(a) principal: Lima, Luiz Renato Regis de Oliveira
Data de Publicação: 2004
Outros Autores: Xiao, Zhijie
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Institucional do FGV (FGV Repositório Digital)
Texto Completo: http://hdl.handle.net/10438/940
Resumo: While it is recognized that output fuctuations are highly persistent over certain range, less persistent results are also found around very long horizons (Conchrane, 1988), indicating the existence of local or temporary persistency. In this paper, we study time series with local persistency. A test for stationarity against locally persistent alternative is proposed. Asymptotic distributions of the test statistic are provided under both the null and the alternative hypothesis of local persistency. Monte Carlo experiment is conducted to study the power and size of the test. An empirical application reveals that many US real economic variables may exhibit local persistency.
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spelling Lima, Luiz Renato Regis de OliveiraXiao, ZhijieEscolas::EPGEFGV2008-05-13T15:42:15Z2008-05-13T15:42:15Z2004-03-010104-8910http://hdl.handle.net/10438/940While it is recognized that output fuctuations are highly persistent over certain range, less persistent results are also found around very long horizons (Conchrane, 1988), indicating the existence of local or temporary persistency. In this paper, we study time series with local persistency. A test for stationarity against locally persistent alternative is proposed. Asymptotic distributions of the test statistic are provided under both the null and the alternative hypothesis of local persistency. Monte Carlo experiment is conducted to study the power and size of the test. An empirical application reveals that many US real economic variables may exhibit local persistency.engEscola de Pós-Graduação em Economia da FGVEnsaios Econômicos;529Do shocks permanently change output? : Local persistency in economic time seriesinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleEconomiaEconomiaAnálise de séries temporaisEconometriareponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVinfo:eu-repo/semantics/openAccessORIGINAL1550.pdfapplication/pdf359402https://repositorio.fgv.br/bitstreams/21afa1d2-7472-4b1c-b991-3f8f86cd2c9e/download3daca1bfb86663526d9e76f045e2208eMD51TEXT1550.pdf.txt1550.pdf.txtExtracted texttext/plain54955https://repositorio.fgv.br/bitstreams/f5f05d9e-6593-469f-8e59-10bb1429c911/downloaddacf09b3ead2cf713be998daa539088bMD56THUMBNAIL1550.pdf.jpg1550.pdf.jpgGenerated Thumbnailimage/jpeg3286https://repositorio.fgv.br/bitstreams/965e66b7-ec5b-4f30-99b6-45c1b3745e66/downloada3e7251cbeb0ef9c62a83d925fc90302MD5710438/9402023-11-09 00:36:44.252open.accessoai:repositorio.fgv.br:10438/940https://repositorio.fgv.brRepositório InstitucionalPRIhttp://bibliotecadigital.fgv.br/dspace-oai/requestopendoar:39742023-11-09T00:36:44Repositório Institucional do FGV (FGV Repositório Digital) - Fundação Getulio Vargas (FGV)false
dc.title.eng.fl_str_mv Do shocks permanently change output? : Local persistency in economic time series
title Do shocks permanently change output? : Local persistency in economic time series
spellingShingle Do shocks permanently change output? : Local persistency in economic time series
Lima, Luiz Renato Regis de Oliveira
Economia
Economia
Análise de séries temporais
Econometria
title_short Do shocks permanently change output? : Local persistency in economic time series
title_full Do shocks permanently change output? : Local persistency in economic time series
title_fullStr Do shocks permanently change output? : Local persistency in economic time series
title_full_unstemmed Do shocks permanently change output? : Local persistency in economic time series
title_sort Do shocks permanently change output? : Local persistency in economic time series
author Lima, Luiz Renato Regis de Oliveira
author_facet Lima, Luiz Renato Regis de Oliveira
Xiao, Zhijie
author_role author
author2 Xiao, Zhijie
author2_role author
dc.contributor.unidadefgv.por.fl_str_mv Escolas::EPGE
dc.contributor.affiliation.none.fl_str_mv FGV
dc.contributor.author.fl_str_mv Lima, Luiz Renato Regis de Oliveira
Xiao, Zhijie
dc.subject.area.por.fl_str_mv Economia
topic Economia
Economia
Análise de séries temporais
Econometria
dc.subject.bibliodata.por.fl_str_mv Economia
Análise de séries temporais
Econometria
description While it is recognized that output fuctuations are highly persistent over certain range, less persistent results are also found around very long horizons (Conchrane, 1988), indicating the existence of local or temporary persistency. In this paper, we study time series with local persistency. A test for stationarity against locally persistent alternative is proposed. Asymptotic distributions of the test statistic are provided under both the null and the alternative hypothesis of local persistency. Monte Carlo experiment is conducted to study the power and size of the test. An empirical application reveals that many US real economic variables may exhibit local persistency.
publishDate 2004
dc.date.issued.fl_str_mv 2004-03-01
dc.date.accessioned.fl_str_mv 2008-05-13T15:42:15Z
dc.date.available.fl_str_mv 2008-05-13T15:42:15Z
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dc.identifier.uri.fl_str_mv http://hdl.handle.net/10438/940
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dc.language.iso.fl_str_mv eng
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dc.relation.ispartofseries.por.fl_str_mv Ensaios Econômicos;529
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dc.publisher.none.fl_str_mv Escola de Pós-Graduação em Economia da FGV
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