Time series properties of aggregate output fluctuations

DOI10.1016/0304-4076(93)90100-JzbMath0776.62087OpenAlexW2032662250MaRDI QIDQ685910

Steven N. Durlauf

Publication date: 17 October 1993

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(93)90100-j

zbMATH Keywords

random walk with driftspectral distribution functiondeviations from white noisemartingale hypothesissecond moment implicationstime series properties of aggregate U.S. outputunit root component of output

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and spectral analysis (62M15)

Related Items (5)

Statistical distributions of time series in the frequency domain and the patterns of violation of white noise conditions ⋮ New variance ratio tests to identify random walk from the general mean reversion model ⋮ Big shocks versus small shocks in a dynamic stochastic economy with many interacting agents ⋮ Spectral based testing of the martingale hypothesis ⋮ A monte carlo analysis of two spectral tests of the martingale hypothesis

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• Are Output Fluctuations Transitory?
• Nonergodic Economic Growth
• On Limit Theorems for Quadratic Functions of Discrete Time Series
• Statistical Spectral Analysis of Time Series Arising from Stationary Stochastic Processes

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