Journal Article
The sources and nature of long-term memory in aggregate output
Abstract: This article examines the stochastic properties of aggregate macroeconomic time series from the standpoint of fractionally integrated models, focusing on the persistence of economic shocks. The authors develop a simple macroeconomic model that exhibits long-range dependence, a consequence of aggregation in the presence of real business cycles. To implement these results empirically, they employ a test for fractionally integrated time series based on the Hurst-Mandelbrot rescaled range. This test is robust to short-range dependence and is applied to quarterly and annual real GDP to determine the sources and nature of long-range dependence in the business cycle.
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https://fraser.stlouisfed.org/title/economic-review-federal-reserve-bank-cleveland-1328/2001-quarter-2-4590?page=16
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Bibliographic Information
Provider: Federal Reserve Bank of Cleveland
Part of Series: Economic Review
Publication Date: 2001
Issue: Q II
Pages: 15-30