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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.
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John H. Cochrane (Sat,) studied this question.
www.synapsesocial.com/papers/6a0b564748609dcc0aacfb6f — DOI: https://doi.org/10.1086/261569
John H. Cochrane
Journal of Political Economy
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