Uncertainty About the Persistence of Economic Shocks
经济冲击持续性的不确定性
The behavior of time series of economic output has been characterized in terms of the persistence of shocks. For a series generated by an autoregressive integrated moving average model, persistence is a function of the model parameters. This paper demonstrates that a careful analysis, based on the likelihood, can lead to considerably more uncertainty about persistence than is implied by the confidence intervals that are usually calculated. The estimation of persistence is…