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How Robust Is the Finding That Innovations to UK Output Are Persistent?

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  • Mills, Terence C

Abstract

The finding that output innovations in the United Kingdom are persistent is shown to be robust to a variety of extensions and modifications to the unit root-persistence methodology. A one percent innovation to current output changes long-run forecasts of output by at least one percent and, although the possibility that output returns to a constant trend path cannot be completely ruled out, any such mean reversion would have to be extremely slow; the data are much more likely to be consistent with an output process having an important random walk component in which innovations have a strong tendency to persist. Copyright 1992 by Scottish Economic Society.

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  • Mills, Terence C, 1992. "How Robust Is the Finding That Innovations to UK Output Are Persistent?," Scottish Journal of Political Economy, Scottish Economic Society, vol. 39(2), pages 154-166, May.
    • Handle: RePEc:bla:scotjp:v:39:y:1992:i:2:p:154-66
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    Cited by:

    1. Gil-Alana, L. A. & Robinson, P. M., 1997. "Testing of unit root and other nonstationary hypotheses in macroeconomic time series," Journal of Econometrics, Elsevier, vol. 80(2), pages 241-268, October.
    2. Mills, Terence C, 1994. "Infrequent Permanent Shocks and the Unit Root in Quarterly UK Output," Bulletin of Economic Research, Wiley Blackwell, vol. 46(1), pages 91-94, January.
    3. Franco Bevilacqua & Adriaan van Zon, 2004. "Random walks and non-linear paths in macroeconomic time series: some evidence and implications," Chapters, in: John Foster & Werner Hölzl (ed.), Applied Evolutionary Economics and Complex Systems, chapter 3, Edward Elgar Publishing.

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