✦ LIBER ✦

Persistence of shocks on seasonal processes

✍ Scribed by Tommaso Proietti

Publisher: John Wiley and Sons
Year: 1996
Tongue: English
Weight: 789 KB
Volume: 11
Category: Article
ISSN: 0883-7252
DOI: 10.1002/(sici)1099-1255(199607)11:4<383::aid-jae403>3.0.co;2-3

No coin nor oath required. For personal study only.

✦ Synopsis

The paper addresses the issue of measuring the persistence of shocks on seasonally integrated processes observed at quarterly intervals. We show that the amplitude of the limiting cycle described by the cumulated impulse response function provides a parametric measure of persistence and that Cochrane's normalized variance ratio can correspondingly be extended as a non-parametric counterpart. For illustrative purposes the latter is applied to the Italian GDP and to the output of the agricultural sector.

📜 SIMILAR VOLUMES

The persistence of ideal shock waves

✍ H. Freistühler 📂 Article 📅 1994 🏛 Elsevier Science 🌐 English ⚖ 388 KB

A short note on the persistence of ideal

A short note on the persistence of ideal shock waves

✍ Heinrich Freistühler 📂 Article 📅 1995 🏛 Springer 🌐 English ⚖ 618 KB

Properties of seasonal long memory proce

Properties of seasonal long memory processes

✍ C. Bisognin; S.R.C. Lopes 📂 Article 📅 2009 🏛 Elsevier Science 🌐 English ⚖ 1019 KB

Can non-linear real shocks explain the p

Can non-linear real shocks explain the persistence of PPP exchange rate disequilibria?

✍ Tuomas A. Peltonen; Adina Popescu; Michael Sager 📂 Article 📅 2010 🏛 John Wiley and Sons 🌐 English ⚖ 266 KB 👁 1 views

A core stylized fact of the empirical exchange rate literature is that half-life deviations of equilibrium real exchange rates from levels implied by Purchasing Power Parity (PPP) are very persistent. Empirical efforts to explain this persistence typically proceed along two distinct paths, resorting

Cognitive processes and the persistence

Cognitive processes and the persistence of aggressive behavior

✍ L. Rowell Huesmann; Leonard D. Eron 📂 Article 📅 1984 🏛 John Wiley and Sons 🌐 English ⚖ 566 KB

Recent data from several longitudinal studies including one spanning 22 years suggest that aggression is quite stable over time and situation. Early measures of intellectual competence predicted concurrent and later aggression, but early aggression was independently a good predictor of reduced intel

Mixed analog/persistence prediction of s

Mixed analog/persistence prediction of seasonal mean temperatures for the USA

✍ Robert E. Livezey; Anthony G. Barnston; Brian K. Neumeister 📂 Article 📅 1990 🏛 John Wiley and Sons 🌐 English ⚖ 858 KB

## Abstract The operational analog prediction system used as input to official USA seasonal temperature category forecasts was modified to produce anomaly forecasts instead of most probable class forecasts. These modified forecasts led to more conservative predictions, but were more reliable for ab