An Empirical Investigation of Shock Persistence in Economic Time Series*

Geetha Mayadunne · Merran Evans · Brett Inder

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Monetary Policy and Economic Impact Market Dynamics and Volatility Unemployment and Economic Growth

Abstract

Whether or not shocks persist has important implications in economics. An empirical study investigates this issue for key Australian and US macroeconomic time series. The existence of persistence is investigated by unit root tests and its magnitude estimated by recently proposed techniques. Results from these different approaches are compared.

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References

1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root 1988Testing for a Unit Root in Time Series Regression 1977Time Series Analysis: Forecasting and Control 1981Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root 1992Testing the null hypothesis of stationarity against the alternative of a unit root 1982Trends and random walks in macroeconmic time series 1980AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING 1983THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS

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