This paper argues that persistence is not an invariant feature of a time series, but depends on the context in which the series is used: as the parameters of any dynamic model are defined relative to a particular information set, any change in the set of conditioning variables might affect the...

This paper argues the fact the empirical evidence on persistence is mixed is not very surprising, as economic theory is bound to be drawn upon in order to specify the statistical model. This is illustrated in two ways. Firstly, we highlight the fact that concept of persistence is model...