Abstract
This paper presents a measure of the persistence of fluctuations in gross national product (GNP) based on the variance of its long differences. That measure finds little long-term persistence in GNP. Previous research on this question found a great deal of persistence in GNP, suggesting models such as a random walk. A reconciliation of this paper's results with previous research shows that conventional criteria for time-series model building can produce misleading estimates of persistence. Copyright 1988 by University of Chicago Press.
Keywords
Persistence (discontinuity)Random walkMeasure (data warehouse)EconometricsVariance (accounting)Term (time)Series (stratigraphy)EconomicsStatisticsMathematicsComputer scienceEngineering
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Publication Info
- Year
- 1988
- Type
- article
- Volume
- 96
- Issue
- 5
- Pages
- 893-920
- Citations
- 1277
- Access
- Closed
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Cite This
John H. Cochrane
(1988).
How Big Is the Random Walk in GNP?.
Journal of Political Economy
, 96
(5)
, 893-920.
https://doi.org/10.1086/261569
Identifiers
- DOI
- 10.1086/261569