Time series properties of aggregate output fluctuations

DOI10.1016/0304-4076(93)90100-JMaRDI QIDQ685910zbMATH OpenOpenAlexFDO

Authors Steven N. Durlauf

Publication date 17 October 1993

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0304-4076(93)90100-j

zbMATH Keywords

deviations from white noisemartingale hypothesisrandom walk with driftsecond moment implicationsspectral distribution functiontime series properties of aggregate U.S. outputunit root component of output

Mathematics Subject Classification ID

Inference from stochastic processes and spectral analysis (62M15) Applications of statistics to economics (62P20)

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Cites work

• A Model of Growth Through Creative Destruction
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• Are output fluctuations transitory?
• Empirical Processes with Applications to Statistics
• scientific article; zbMATH DE number 3131469 (Why is no real title available?)
• scientific article; zbMATH DE number 3497161 (Why is no real title available?)
• Nonergodic Economic Growth
• On Limit Theorems for Quadratic Functions of Discrete Time Series
• Spectral based testing of the martingale hypothesis
• Statistical Spectral Analysis of Time Series Arising from Stationary Stochastic Processes
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
• The Relative Importance of Permanent and Transitory Components: Identification and Some Theoretical Bounds
• Time Series Regression with a Unit Root

Cited in

(8)

• Spectral based testing of the martingale hypothesis
• Time to implement and aggregate fluctuations
• Statistical distributions of time series in the frequency domain and the patterns of violation of white noise conditions
• Output fluctuations persistence: do cyclical shocks matter?
• A monte carlo analysis of two spectral tests of the martingale hypothesis
• Are output fluctuations transitory?
• Big shocks versus small shocks in a dynamic stochastic economy with many interacting agents
• New variance ratio tests to identify random walk from the general mean reversion model

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