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The impact of vintage on the persistence of gross domestic product shocks

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  • Macaro, Christian

Abstract

This paper aims to demonstrate that the data revision process affects the persistence of gross domestic product shocks. Results will contribute to the debate between unit root and linear models.

Suggested Citation

  • Macaro, Christian, 2008. "The impact of vintage on the persistence of gross domestic product shocks," Economics Letters, Elsevier, vol. 98(3), pages 301-308, March.
    • Handle: RePEc:eee:ecolet:v:98:y:2008:i:3:p:301-308
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    References listed on IDEAS

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    1. Croushore, Dean & Stark, Tom, 2001. "A real-time data set for macroeconomists," Journal of Econometrics, Elsevier, vol. 105(1), pages 111-130, November.
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    3. Stark, Tom & Croushore, Dean, 2002. "Forecasting with a real-time data set for macroeconomists," Journal of Macroeconomics, Elsevier, vol. 24(4), pages 507-531, December.
    4. Rudebusch, Glenn D, 1993. "The Uncertain Unit Root in Real GNP," American Economic Review, American Economic Association, vol. 83(1), pages 264-272, March.
    5. Diebold, Francis X. & Rudebusch, Glenn D., 1989. "Long memory and persistence in aggregate output," Journal of Monetary Economics, Elsevier, vol. 24(2), pages 189-209, September.
    6. K Abadir & W Distaso & L Giraitis, "undated". "Semiparametric estimation and inference for trending I(d) and related processes," Discussion Papers 05/15, Department of Economics, University of York.
    7. Sowell, Fallaw, 1992. "Modeling long-run behavior with the fractional ARIMA model," Journal of Monetary Economics, Elsevier, vol. 29(2), pages 277-302, April.
    8. Nelson, Charles R. & Plosser, Charles I., 1982. "Trends and random walks in macroeconmic time series : Some evidence and implications," Journal of Monetary Economics, Elsevier, vol. 10(2), pages 139-162.
    9. Sowell, Fallaw, 1990. "The Fractional Unit Root Distribution," Econometrica, Econometric Society, vol. 58(2), pages 495-505, March.
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    Cited by:

    1. Iuliana Matei, 2008. "Prices and output co-movements: an empirical investigation for the CEECs," Documents de travail du Centre d'Economie de la Sorbonne bla08061, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.

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