Journal of Political Economy Vol. 96 No. 5 1988
How Big Is the Random Walk in GNP?
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.
- DOI
- 10.1086/261569
- Volume
- 96
- Issue
- 5
- Pages
- 893-920
- Language
- en
- Sources
- crossref openalex