ON PERSISTENCE OF SHOCKS TO ECONOMIC VARIABLES - A COMMON MISCONCEPTION
成果类型：
Article
署名作者：
LIPPI, M; REICHLIN, L
刊物名称：
JOURNAL OF MONETARY ECONOMICS
ISSN/ISSBN：
0304-3932
DOI：
10.1016/0304-3932(92)90024-V
发表日期：
1992
页码：
87-93
关键词：
摘要：
Empirical results on U.S. GNP have provided estimates of the Beveridge and Nelson's persistence measure (almost) always greater than unity when using ARIMA models and always smaller than unity when using UCARIMA models. This paper shows that a measure of persistence less than unity is a mathematical consequence of the definition of UCARIMA models and not an independent estimation result. Therefore, ARIMA and UCARIMA estimates of persistence cannot be compared on the same ground.
来源URL：