International evidence on the size of the random walk in output

Timothy Cogley

    Research output: Contribution to journalArticle

    Abstract

    This paper contributes three extensions of Cochrane's work on measuring the relative stability of long-term growth. It estimates variance ratios for nine OECD countries over the period 1871-1985, presents an improved approximation to the distribution of the variance ratio, and considers the comovements of long growth cycles across countries. The evidence indicates that the relative stability of long-term growth found by Cochrane is unique to the United States. Relative to the United States most countries have more variable dynamics at low frequencies and smoother dynamics at frequencies traditionally associated with business cycles. -Author

    Original languageEnglish (US)
    Pages (from-to)501-518
    Number of pages18
    JournalJournal of Political Economy
    Volume98
    Issue number3
    DOIs
    StatePublished - 1990

    Fingerprint

    Random walk
    Variance ratio
    Long-term growth
    Comovement
    Growth cycle
    Business cycles
    OECD countries
    Approximation

    ASJC Scopus subject areas

    • Economics and Econometrics

    Cite this

    International evidence on the size of the random walk in output. / Cogley, Timothy.

    In: Journal of Political Economy, Vol. 98, No. 3, 1990, p. 501-518.

    Research output: Contribution to journalArticle

    Cogley, Timothy. / International evidence on the size of the random walk in output. In: Journal of Political Economy. 1990 ; Vol. 98, No. 3. pp. 501-518.
    @article{4fac3da6a5584c8f86df2f409f9f1f85,
    title = "International evidence on the size of the random walk in output",
    abstract = "This paper contributes three extensions of Cochrane's work on measuring the relative stability of long-term growth. It estimates variance ratios for nine OECD countries over the period 1871-1985, presents an improved approximation to the distribution of the variance ratio, and considers the comovements of long growth cycles across countries. The evidence indicates that the relative stability of long-term growth found by Cochrane is unique to the United States. Relative to the United States most countries have more variable dynamics at low frequencies and smoother dynamics at frequencies traditionally associated with business cycles. -Author",
    author = "Timothy Cogley",
    year = "1990",
    doi = "10.1086/261692",
    language = "English (US)",
    volume = "98",
    pages = "501--518",
    journal = "Journal of Political Economy",
    issn = "0022-3808",
    publisher = "University of Chicago",
    number = "3",

    }

    TY - JOUR

    T1 - International evidence on the size of the random walk in output

    AU - Cogley, Timothy

    PY - 1990

    Y1 - 1990

    N2 - This paper contributes three extensions of Cochrane's work on measuring the relative stability of long-term growth. It estimates variance ratios for nine OECD countries over the period 1871-1985, presents an improved approximation to the distribution of the variance ratio, and considers the comovements of long growth cycles across countries. The evidence indicates that the relative stability of long-term growth found by Cochrane is unique to the United States. Relative to the United States most countries have more variable dynamics at low frequencies and smoother dynamics at frequencies traditionally associated with business cycles. -Author

    AB - This paper contributes three extensions of Cochrane's work on measuring the relative stability of long-term growth. It estimates variance ratios for nine OECD countries over the period 1871-1985, presents an improved approximation to the distribution of the variance ratio, and considers the comovements of long growth cycles across countries. The evidence indicates that the relative stability of long-term growth found by Cochrane is unique to the United States. Relative to the United States most countries have more variable dynamics at low frequencies and smoother dynamics at frequencies traditionally associated with business cycles. -Author

    UR - http://www.scopus.com/inward/record.url?scp=0025591195&partnerID=8YFLogxK

    UR - http://www.scopus.com/inward/citedby.url?scp=0025591195&partnerID=8YFLogxK

    U2 - 10.1086/261692

    DO - 10.1086/261692

    M3 - Article

    VL - 98

    SP - 501

    EP - 518

    JO - Journal of Political Economy

    JF - Journal of Political Economy

    SN - 0022-3808

    IS - 3

    ER -