Long memory and persistence in aggregate output

@inproceedings{Diebold1988LongMA,
  title={Long memory and persistence in aggregate output},
  author={Francis X. Diebold and Glenn D. Rudebusch},
  year={1988}
}
We examine persistence in U.S. aggregate output by estimating fractionally integrated ARIMA models. T h e x models provide better low-frequency approximations to the Wold representation than previous stochastic specifications. and earlier resulrs on the importance of a permanent component emerge as special cases. We find evidence of long memory. whch induces persistence. though t h s long memory need not be associated uith a unit root. Our point estimates indicate that macroeconomic shocks… CONTINUE READING
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