AN EMPIRICAL-INVESTIGATION OF SHOCK PERSISTENCE IN ECONOMIC TIME-SERIES

Authors
MAYADUNNE G EVANS M INDER B
Citation
G. Mayadunne et al., AN EMPIRICAL-INVESTIGATION OF SHOCK PERSISTENCE IN ECONOMIC TIME-SERIES, Economic record, 71(213), 1995, pp. 145-156
Citations number
39
Categorie Soggetti
Economics
Journal title
Economic record → ACNP
ISSN journal
00130249
Volume
71
Issue
213
Year of publication
1995
Pages
145 - 156
Database
ISI
SICI code
0013-0249(1995)71:213<145:AEOSPI>2.0.ZU;2-Q
Abstract
Whether or not shocks persist has important implications in economics. An empirical study investigates this issue for key Australian and US macroeconomic time series. The existence of persistence is investigate d by unit root tests and its magnitude estimated by recently proposed techniques. Results from these different approaches are compared.