IDEAS home Printed from https://ideas.repec.org/a/spr/empeco/v20y1995i2p333-49.html
   My bibliography  Save this article

Finnish GNP-Series 1954/I-1990/IV: Small Shock Persistence or Trend Stationarity? Some Evidence with Variance Ratio Estimates

Author

Listed:
  • Linden, Mikael

Abstract

The "shock persistence" of Finnish adjusted quarterly real GNP series in logarithms from 1954:1 to 1990:4 is analyzed using variance ratio estimators. The results indicate that the random walk component of the series is not big. The small sample properties of variance ratio estimators are studied using empirical distribution derived from simulations. The persistence measures calculated via the ARIMA modelling of the lnGNP[subscript t] series are biased upwards. The sampling properties show that the simple random walk model is not an alternative model for the lnGNP. A trend stationary alternative, an AR(2) process, gives almost the same "shock persistence" measures as the assumed unit root processes.

Suggested Citation

  • Linden, Mikael, 1995. "Finnish GNP-Series 1954/I-1990/IV: Small Shock Persistence or Trend Stationarity? Some Evidence with Variance Ratio Estimates," Empirical Economics, Springer, vol. 20(2), pages 333-349.
    • Handle: RePEc:spr:empeco:v:20:y:1995:i:2:p:333-49
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:empeco:v:20:y:1995:i:2:p:333-49. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.