Premium
Persistence of shocks on seasonal processes
Author(s) -
Proietti Tommaso
Publication year - 1996
Publication title -
journal of applied econometrics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 2.878
H-Index - 99
eISSN - 1099-1255
pISSN - 0883-7252
DOI - 10.1002/(sici)1099-1255(199607)11:4<383::aid-jae403>3.0.co;2-3
Subject(s) - persistence (discontinuity) , econometrics , parametric statistics , impulse response , economics , variance (accounting) , amplitude , limiting , seasonal adjustment , impulse (physics) , nonparametric statistics , mathematics , statistics , variable (mathematics) , physics , engineering , mathematical analysis , mechanical engineering , geotechnical engineering , accounting , quantum mechanics
The paper addresses the issue of measuring the persistence of shocks on seasonally integrated processes observed at quarterly intervals. We show that the amplitude of the limiting cycle described by the cumulated impulse response function provides a parametric measure of persistence and that Cochrane's normalized variance ratio can correspondingly be extended as a non‐parametric counterpart. For illustrative purposes the latter is applied to the Italian GDP and to the output of the agricultural sector.