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An Empirical Investigation of Shock Persistence in Economic Time Series*
Author(s) -
MAYADUNNE GEETHA,
EVANS MERRAN,
INDER BRETT
Publication year - 1995
Publication title -
economic record
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.365
H-Index - 42
eISSN - 1475-4932
pISSN - 0013-0249
DOI - 10.1111/j.1475-4932.1995.tb01881.x
Subject(s) - persistence (discontinuity) , unit root , economics , series (stratigraphy) , econometrics , shock (circulatory) , long memory , empirical research , time series , macroeconomics , mathematics , statistics , engineering , biology , medicine , paleontology , geotechnical engineering , volatility (finance)
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 investigated by unit root tests and its magnitude estimated by recently proposed techniques. Results from these different approaches are compared.