The Sources and Nature of Long-Term Memory in the Business Cycle PDF ePub eBook

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The Sources and Nature of Long-Term Memory in the Business Cycle free pdf Excerpt from The Sources and Nature of Long-Term Memory in the Business Cycle We examine the stochastic properties of aggregate macroeconomic time series from the standpoint of fractionally integrated models, and focus on the persistence of economic shocks. We develop a simple macroeconomic model that exhibits long-term dependence, a consequence of aggregation in the presence of real business cycles. We derive the relation between properties of fractionally integrated macroeconomic time series and those of microeconomic data, and discuss how fiscal policy may alter their stochastic behavior. To implement these results empirically, we employ a test for fractionally integrated time series based on the Hurst-Mandelbrot rescaled range. This test is robust to short-term dependence, and is applied to quarterly and annual real GNP to determine the sources and nature of long-term dependence in the business cycle. About the Publisher Forgotten Books publishes hundreds of thousands of rare and classic books. Find more at www.forgottenbooks.com This book is a reproduction of an important historical work. Forgotten Books uses state-of-the-art technology to digitally reconstruct the work, preserving the original format whilst repairing imperfections present in the aged copy. In rare cases, an imperfection in the original, such as a blemish or missing page, may be replicated in our edition. We do, however, repair the vast majority of imperfections successfully- any imperfections that remain are intentionally left to preserve the state of such historical works.

About Joseph G Haubrich

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Details Book

Author : Joseph G Haubrich
Publisher : Forgotten Books
Data Published : 27 September 2015
ISBN : 1332282377
EAN : 9781332282371
Format Book : PDF, Epub, DOCx, TXT
Number of Pages : 58 pages
Age + : 15 years
Language : English
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