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Uncertainty about the Persistence of Economic Shocks

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  • Miller, John P
  • Newbold, Paul

Abstract

The behavior of time series of economic output has been characterized in terms of the persistence of shocks. For a series generated by an autoregressive integrated moving average model, persistence is a function of the model parameters. This paper demonstrates that a careful analysis, based on the likelihood, can lead to considerably more uncertainty about persistence than is implied by the confidence intervals that are usually calculated. The estimation of persistence is also examined from a vector autoregression. In this case, nonstandard concentrated log likelihood functions are also found, leading to the conclusion that considerable care is necessary to asses uncertainty.

Suggested Citation

  • Miller, John P & Newbold, Paul, 1995. "Uncertainty about the Persistence of Economic Shocks," Journal of Business & Economic Statistics, American Statistical Association, vol. 13(4), pages 435-440, October.
    • Handle: RePEc:bes:jnlbes:v:13:y:1995:i:4:p:435-40
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    Cited by:

    1. Paul Newbold & Tony Rayner & Neil Kellard, 2000. "Long‐Run Drift, Co‐Movement and Persistence in Real Wheat and Maize Prices," Journal of Agricultural Economics, Wiley Blackwell, vol. 51(1), pages 106-121, January.

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