Long Memory in US Real Output Per Capita

40 Pages Posted: 31 Aug 2009

See all articles by Guglielmo Maria Caporale

Guglielmo Maria Caporale

Brunel University London - Department of Economics and Finance; London South Bank University; CESifo (Center for Economic Studies and Ifo Institute); German Institute for Economic Research (DIW Berlin)

Luis A. Gil-Alana

University of Navarra - Department of Economics

Multiple version iconThere are 2 versions of this paper

Date Written: May 2009

Abstract

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

Caporale, Guglielmo Maria and Gil-Alana, Luis A., Long Memory in US Real Output Per Capita (May 2009). DIW Berlin Discussion Paper No. 891, Available at SSRN: https://ssrn.com/abstract=1463313 or http://dx.doi.org/10.2139/ssrn.1463313

Guglielmo Maria Caporale (Contact Author)

Brunel University London - Department of Economics and Finance ( email )

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London South Bank University ( email )

Centre for Monetary and Financial Economics
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United Kingdom

CESifo (Center for Economic Studies and Ifo Institute)

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German Institute for Economic Research (DIW Berlin) ( email )

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Luis A. Gil-Alana

University of Navarra - Department of Economics ( email )

Campus de Arrosadia
Pamplona, 31006
Spain

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