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| Author: | Perron, P. |
| Title: | The HUMP-shaped behavior of macroeconomic fluctuations |
| Journal: | Empirical Economics
1993 : VOL. 18:4, p. 707-727 |
| Index terms: | MACROECONOMICS ECONOMICS STRUCTURAL CHANGE |
| Language: | eng |
| Abstract: | The author analyses the nature of persistence in macroeconomic fluctuations. The current view is that shocks to macroeconomic variables (in particular real GNP) have effects that endure over an indefinite horizon. This conclusion is drawn from the presence of a unit root in the univariate time series representation. To analyse the effects of shocks at finite horizon, a member of the ARMA class applied to the appropriately detrended series is selected. For the majority of the variables analysed the implied weights of the moving-average representation have the once familiar humped shape. |
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