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来源类型 | Article |
规范类型 | 其他 |
DOI | 10.1016/j.jmacro.2007.10.004 |
Comment on "The uncertain unit root in real GNP: A re-examination". | |
Mishra T | |
发表日期 | 2009 |
出处 | Journal of Macroeconomics 31 (1): 167-172 |
出版年 | 2009 |
语种 | 英语 |
摘要 | With the objective to settle the often conflicting and inconclusive extant debate on whether the observed secular growth can be characterized by a deterministic or stochastic trend, Darne comes up with an alternative method - the outlier detection methodology and studies the persistence properties of US real GNP for the period 1869-1993. Given that the presence of outliers in a time series - unless detected and adjusted - often render wrong impression on the persistence properties and their implications for long-run growth, Darni's contribution in this regard is significant. Outliers of varied types assume varying persistence profiles, therefore detection of them in the GNP growth is a pre-requisite for characterizing the series in a stochastic or deterministic setting. To further intuition on the exact nature of persistence, I applied fractional integration test of the four real GNP series and found that outlier adjusted GNP series are mean-reverting and are more persistent than original. The rate of convergence of stochastic shocks to long-run mean have important implications for growth dynamics. |
主题 | World Population (POP) ; Postdoctoral Scholars (PDS) |
关键词 | Long-memory Outlier methodology Stochastic trend in GNP Unit root |
URL | http://pure.iiasa.ac.at/id/eprint/8878/ |
来源智库 | International Institute for Applied Systems Analysis (Austria) |
引用统计 | |
资源类型 | 智库出版物 |
条目标识符 | http://119.78.100.153/handle/2XGU8XDN/129003 |
推荐引用方式 GB/T 7714 | Mishra T. Comment on "The uncertain unit root in real GNP: A re-examination".. 2009. |
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