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来源类型Article
规范类型其他
DOI10.1016/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
URLhttp://pure.iiasa.ac.at/id/eprint/8878/
来源智库International Institute for Applied Systems Analysis (Austria)
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资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/129003
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GB/T 7714
Mishra T. Comment on "The uncertain unit root in real GNP: A re-examination".. 2009.
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