Long Memory in US Real Output per Capita
42 Pages Posted: 29 Jun 2009
Date Written: June 2009
This paper analyses the long memory properties of quarterly real output per capita in the US (1948Q1-2008Q3) using non-parametric, semi-parametric and parametric techniques. The results vary substantially depending on the methodology employed. Evidence of mean reversion is obtained in a parametric context if the underlying disturbances are weakly autocorrelated. We also examine the possibility of a structural break in the data and the results indicate that there is a slight reduction in the degree of persistence after the break that is found to occur in the second quarter of 1978.
Keywords: fractional integration, long memory, convergence
JEL Classification: C22, O40
Suggested Citation: Suggested Citation