SHIFTING TRENDS, SEGMENTED TRENDS, AND INFREQUENT PERMANENT SHOCKS

被引：81

作者：

BALKE, NS ^{[1
]}

FOMBY, TB ^{[1
]}

机构：

[1] FED RESERVE BANK DALLAS,DALLAS,TX 75222

来源：

JOURNAL OF MONETARY ECONOMICS | 1991年 / 28卷 / 01期

关键词：

D O I：

10.1016/0304-3932(91)90025-J

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

A stochastic trend model is considered in which permanent shocks occur infrequently and randomly. We show that this model is observationally equivalent to shifting/segmented deterministic trend models. Moreover, we show that standard, full-sample time series methods are incapable of distinguishing between small, frequent permanent shocks and large, infrequent permanent shocks. An outlier search, however, reveals substantial evidence of large, infrequent shocks to the GNP deflator and that these shocks account for most of the persistence in the GNP deflator. For real GNP, evidence of infrequent permanent shocks is weaker. © 1991.

引用

页码：61 / 85

页数：25

共 23 条

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BALKE N, 1990, 9032 FED RES BANK DA

[2]

BALKE N, 1991, 9109 FED RES BANK DA

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