LONG-RUN NEUTRALITY AND SUPERNEUTRALITY IN AN ARIMA FRAMEWORK

Authors
FISHER ME SEATER JJ
Citation
Me. Fisher et Jj. Seater, LONG-RUN NEUTRALITY AND SUPERNEUTRALITY IN AN ARIMA FRAMEWORK, The American economic review, 83(3), 1993, pp. 402-415
Citations number
22
Categorie Soggetti
Economics
Journal title
The American economic review → ACNP
ISSN journal
00028282
Volume
83
Issue
3
Year of publication
1993
Pages
402 - 415
Database
ISI
SICI code
0002-8282(1993)83:3<402:LNASIA>2.0.ZU;2-Q
Abstract
We (i) formalize long-run neutrality (LRN) and long-run superneutralit y (LRSN) in the context of a bivariate ARIMA model, (ii) show how the restrictions implied by LRN and LRSN depend on the orders of integrati on of the variables, (iii) apply our analysis to previous work, showin g how that work is related to LRN and LRSN, and (iv) provide some new evidence on LRN and LRSN.