A note on Michelacci and Zaffaroni, long memory, and time series of economic growth

@inproceedings{Silverberg2000ANO,
  title={A note on Michelacci and Zaffaroni, long memory, and time series of economic growth},
  author={Gerald D. Silverberg and Bart Verspagen},
  year={2000}
}
In a recent paper in The Journal of Monetary Economics, Michelacci and Zaffaroni (2000)estimate long memory parameters for GDP per capita of 16 OECD countries. In this note weargue that these estimations are questionable for the purposes of clarifying the time seriesproperties of these data (presence of unit roots, mean reversion, long memory) because theauthors a) filter out a deterministic linear-in-logs trend instead of first-differencing in logs,and manipulate the data in other highly… CONTINUE READING

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