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Measuring the degree of persistence in the U.S. economic policy uncertainty index

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  • Luis A. Gil-Alana
  • James E. Payne

Abstract

Researchers utilizing the U.S economic policy uncertainty index and its sub-categories need to be cognizant of the unique persistence profile of each index. We use fractional integration techniques to estimate the degree of persistence in the U.S. economic policy uncertainty index and its 11 sub-categories. The results indicate the estimated values of the differencing parameter, d, are in the interval (0, 1) supporting fractional integration and rejecting the classical models based on stationarity (d = 0) or unit roots (d = 1). Though there is a fair amount of heterogeneity across indices, shocks will be persistent, but mean reverting.

Suggested Citation

  • Luis A. Gil-Alana & James E. Payne, 2020. "Measuring the degree of persistence in the U.S. economic policy uncertainty index," Applied Economics Letters, Taylor & Francis Journals, vol. 27(10), pages 831-835, June.
    • Handle: RePEc:taf:apeclt:v:27:y:2020:i:10:p:831-835
    DOI: 10.1080/13504851.2019.1646398
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    Cited by:

    1. Abakah, Emmanuel Joel Aikins & Caporale, Guglielmo Maria & Gil-Alana, Luis Alberiko, 2021. "Economic policy uncertainty: Persistence and cross-country linkages," Research in International Business and Finance, Elsevier, vol. 58(C).
    2. Yener, Coskun & Akinsomi, Omokolade & Gil-Alana, Luis A. & Yaya, OlaOluwa S, 2023. "Stock Market Responses to COVID-19: The Behaviors of Mean Reversion, Dependence and Persistence," MPRA Paper 117002, University Library of Munich, Germany.
    3. Sheng, Xin & Gupta, Rangan & Cepni, Oguzhan, 2022. "Persistence of state-level uncertainty of the United States: The role of climate risks," Economics Letters, Elsevier, vol. 215(C).
    4. Coskun, Yener & Akinsomi, Omokolade & Gil-Alana, Luis A. & Yaya, OlaOIuwa S., 2021. "Stock Market Responses to COVID-19: Mean Reversion, Dependence and Persistence Behaviours," MPRA Paper 109827, University Library of Munich, Germany.

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