| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP775 |
| DP775 Diffusion of Technical Change and the Decomposition of Output into Trend and Cycle | |
| Marco Lippi; Lucrezia Reichlin | |
| 发表日期 | 1993-05-31 |
| 出版年 | 1993 |
| 语种 | 英语 |
| 摘要 | In this paper we argue that modelling the trend component in real GNP as a random walk is inconsistent with its interpretation as productivity growth. As an alternative we specify the trend as an Auto Regressive Integrated Moving Average (ARIMA) process, whose impulse response function follows an S-shaped pattern reflecting the process of diffusion of technical change. Such an ARIMA process is employed to build and estimate an Unobserved Components ARIMA (UCARIMA) model using USA post-war quarterly data. We find that our model, although more parsimonious, fits the data as well as the standard random walk plus AR(2) cycle. Moreover, the cycle has a very low variance relative to the variance of the trend in our model. |
| 主题 | International Macroeconomics |
| 关键词 | Non-stationarity Productivity growth Random walk |
| URL | https://cepr.org/publications/dp775 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/529931 |
| 推荐引用方式 GB/T 7714 | Marco Lippi,Lucrezia Reichlin. DP775 Diffusion of Technical Change and the Decomposition of Output into Trend and Cycle. 1993. |
| 条目包含的文件 | 条目无相关文件。 | |||||
| 个性服务 |
| 推荐该条目 |
| 保存到收藏夹 |
| 导出为Endnote文件 |
| 谷歌学术 |
| 谷歌学术中相似的文章 |
| [Marco Lippi]的文章 |
| [Lucrezia Reichlin]的文章 |
| 百度学术 |
| 百度学术中相似的文章 |
| [Marco Lippi]的文章 |
| [Lucrezia Reichlin]的文章 |
| 必应学术 |
| 必应学术中相似的文章 |
| [Marco Lippi]的文章 |
| [Lucrezia Reichlin]的文章 |
| 相关权益政策 |
| 暂无数据 |
| 收藏/分享 |
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
