The Sources and Nature of Long-Term Memory in Aggregate Output

Joseph Gerard Haubrich · Andrew W. Lo

33 citations0/0 files storedRePEc: Research Papers in Economics

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Monetary Policy and Economic Impact Economic Theory and Policy Economic Growth and Productivity

Abstract

Questions about the persistence of economic shocks currently occupy an important place in economics. Much of the recent controversy has centered on “unit roots, ” determining whether aggregate time series are

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1982Time to Build and Aggregate Fluctuations 1982Trends and random walks in macroeconmic time series 1991Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation 1983THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS 1999Measuring Business Cycles: Approximate Band-Pass Filters for Economic Time Series 1987Time Series Regression with a Unit Root 1996Monitoring the world economy, 1820-1992 1996Fractionally integrated generalized autoregressive conditional heteroskedasticity

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2009Persistence in some energy futures markets 2009Long Memory in US Real Output Per Capita 2010Estimating DSGE Models with Unknown Data Persistence

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