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The Great Depression and Output Persistence

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  • Christian J. Murray
  • Charles Nelson

Abstract

The persistence of shocks to aggregate output has been the subject of continuing investigation since Nelson and Plosser (1982) suggested they are largely permanent. Recent literature reaches mixed conclusions, largely due to disagreement about how to treat the Great Depression. We estimate output persistence based on a parametric bootstrap of a Markov-switching model for GDP 1870-1994 in which the economy can switch in and out of a turbulent state. Our results suggest that real shocks persist indefinitely if we drop the maintained assumption of homoskedasticity in favor of a Markov-switching representation of the Great Depression.
(This abstract was borrowed from another version of this item.)
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • Christian J. Murray & Charles Nelson, 2000. "The Great Depression and Output Persistence," Discussion Papers in Economics at the University of Washington 0010, Department of Economics at the University of Washington.
    • Handle: RePEc:fth:washer:0010
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    File URL: http://www.econ.washington.edu/user/cnelson/GD-06-13-00.pdf
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    Cited by:

    1. Roel van Elk & Marc van der Steeg & Dinand Webbink, 2013. "The effects of a special program for multi-problem school dropouts on educational enrolment, employment and criminal behaviour; Evidence from a field experiment," CPB Discussion Paper 241.rdf, CPB Netherlands Bureau for Economic Policy Analysis.
    2. Murray, Christian J. & Nelson, Charles R., 2000. "The uncertain trend in U.S. GDP," Journal of Monetary Economics, Elsevier, vol. 46(1), pages 79-95, August.
    3. WenShwo Fang & Stephen M. Miller, 2014. "Output Growth and its Volatility: The Gold Standard through the Great Moderation," Southern Economic Journal, John Wiley & Sons, vol. 80(3), pages 728-751, January.
    4. Ghulam Ghouse & Saud Ahmad Khan & Atiq Ur Rehman & Muhammad Ishaq Bhatti, 2021. "ARDL as an Elixir Approach to Cure for Spurious Regression in Nonstationary Time Series," Mathematics, MDPI, vol. 9(22), pages 1-15, November.
    5. Vougas, Dimitrios V., 2007. "Is the trend in post-WW II US real GDP uncertain or non-linear?," Economics Letters, Elsevier, vol. 94(3), pages 348-355, March.
    6. Olivier Marie, 2016. "Police and thieves in the stadium: measuring the (multiple) effects of football matches on crime," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 179(1), pages 273-292, January.
    7. Du, Ding & Hu, Ou, 2012. "Exchange rate risk in the US stock market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(1), pages 137-150.
    8. Darné, Olivier, 2009. "The uncertain unit root in real GNP: A re-examination," Journal of Macroeconomics, Elsevier, vol. 31(1), pages 153-166, March.
    9. Kim, Chang-Jin & Kim, Jaeho, 2013. "The `Pile-up Problem' in Trend-Cycle Decomposition of Real GDP: Classical and Bayesian Perspectives," MPRA Paper 51118, University Library of Munich, Germany.
    10. Lyócsa, Štefan & Výrost, Tomáš & Baumöhl, Eduard, 2011. "Unit-root and stationarity testing with empirical application on industrial production of CEE-4 countries," MPRA Paper 29648, University Library of Munich, Germany.
    11. David H Papell & Ruxandra Prodan, 2007. "Restricted Structural Change And The Unit Root Hypothesis," Economic Inquiry, Western Economic Association International, vol. 45(4), pages 834-853, October.
    12. Yi-Chi Chen & Eric Zivot, 2010. "Postwar slowdowns and long-run growth: a Bayesian analysis of structural break models," Empirical Economics, Springer, vol. 39(3), pages 897-921, December.

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