Output fluctuations persistence: do cyclical shocks matter?

DOI10.1111/J.1467-8586.2010.00350.XMaRDI QIDQ3072428zbMATH OpenOpenAlexFDO

Authors Silvestro Di Sanzo

Publication date 3 February 2011

Published in Bulletin of Economic Research (Search for Journal in Brave)

Full work available at URL http://www.unive.it/pag/fileadmin/user_upload/dipartimenti/economia/doc/Pubblicazioni_scientifiche/working_papers/2006/WP_DSE_DiSanzo_21_06.pdf

zbMATH Keywords

business cyclefirst-order Markov processMonte Carlopersistenceunobserved components modelwild bootstrap

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Statistical methods; economic indices and measures (91B82) Economic time series analysis (91B84)

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Cites work

• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• Are output fluctuations transitory?
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• Dynamic linear models with Markov-switching
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• Testing for a unit root in the nonlinear STAR framework
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• Testing stochastic cycles in macroeconomic time series
• Testing the unit root with drift hypothesis against nonlinear trend stationarity, with an application to the US price level and interest rate
• The bootstrap and Edgeworth expansion
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis

Cited in

(4)

• Interpolation and shock persistence of prewar U.S. macroeconomic time series: a reconsideration
• Persistence profiles and business cycle fluctuations in a disaggregated model of U.K. output growth
• Are output fluctuations transitory?
• Time series properties of aggregate output fluctuations

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