How Big Is the Random Walk in GNP?
This paper presents a measure of the persistence of fluctuations in gross national product (GNP) based on the variance of its long differences. That measure finds little long-term persistence in GNP. Previous research on this question found a great deal of persistence in GNP, suggesting models such as a random walk. A reconciliation of this paper's results with previous research shows that conventional criteria for time-series model building can produce misleading estimates of persistence. Copyright 1988 by University of Chicago Press.
Year of publication: |
1988
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Authors: | Cochrane, John H |
Published in: |
Journal of Political Economy. - University of Chicago Press. - Vol. 96.1988, 5, p. 893-920
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Publisher: |
University of Chicago Press |
Saved in:
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