Persistence of shocks on seasonal processes

Journal of Applied Econometrics

Volumn 11, Issue 4, 1996, Pages 383-398

  Proietti, Tommaso ^a  

^a UNIVERSITY OF PERUGIA   (Italy)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 21344469398     PISSN: 08837252     EISSN: None     Source Type: Journal    
DOI: 10.1002/(sici)1099-1255(199607)11:4<383::aid-jae403>3.0.co;2-3     Document Type: Article

References (11)

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3. Campbell, J. Y. and N. S. Mankiw (1987b), 'Permanent and transitory components in macroeconomic fluctuations', American Economic Review (Papers and Proceedings), 77, 111-117.
4. Cecchetti, S. G. and P. Lam (1994), 'Variance-ratio tests: small-sample properties with an application to international output data', Journal of Business and Economic Statistics 12, 177-186.
5. Cochrane, J. H. (1988), 'How big is the random walk component in GNP?' Journal of Political Economy, 96, 893-920.
6. Hannan, E. J. and D. F. Nicholls (1977), 'The estimation of the prediction error variance', Journal of the American Statistical Association, 72, 834-840.
7. Hylleberg, S., R. F. Engle, C. W. J. Granger and B. S. Yoo (1990), 'Seasonal integration and cointegration', Journal of Econometrics, 44, 215-238.
8. Jaeger, A. and R. Kunst (1990), 'Seasonal adjustment and measuring persistence in output", Journal of Applied Econometrics, 5, 47-58.
9. Lee, K. C. and M. Hashem Pesaran (1993), 'Persistence profiles and business cycle fluctuations in a disaggregated model of UK output growth', Ricerche Economiche, 47, 293-322.
10. Pesaran, M. H. and H. Samiei (1991), 'Persistence, seasonality and trend in the UK egg production', Applied Economics, 23, 479-484.
11. Smith, R. J. and A. M. R. Taylor (1995), 'Additional critical values and asymptotic representations for seasonal unit root tests', Faculty of Economics and Politics, University of Cambridge.