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Measuring persistence in aggregate output: ARMA models, fractionally integrated ARMA models and nonparametric procedures
Reschenhofer, Erhard; Pötscher, Benedikt M.; Hauser, … - In: Empirical Economics 24 (1999) 2, pp. 243-269
Econometric issues in the estimation of persistence in macroeconomic time series are considered. In particular, the relative merits of estimates based on ARMA models, ARFIMA models and nonparametric procedures are investigated. It is shown that ARFIMA models are inappropriate for the purpose of...
Persistent link: https://www.econbiz.de/10005382318
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Measuring persistence in aggregate output : ARMA models, fractionally integrated ARMA models and nonparametric procedures
Hauser, Michael A.; Pötscher, Benedikt M.; … - In: Empirical economics : a journal of the Institute for … 24 (1999) 2, pp. 243-269
Persistent link: https://www.econbiz.de/10001388897
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Measuring Persistence in Aggregate Output : Arma Models, Fractionally Integrated Arma Models and Nonparametric Procedures
Hauser, Michael A.; Pötscher, Benedikt M.; … - 1999
Econometric issues in the estimation of persistence in macroeconomic time series are considered. In particular, the relative merits of estimates based on ARMA models, ARFIMA models and nonparametric procedures are investigated. It is shown that ARFIMA models are inappropriate for the purpose of...
Persistent link: https://www.econbiz.de/10014193102