How Big Is the Random Walk in GNP?

S-Tier
Journal: Journal of Political Economy
Year: 1988
Volume: 96
Issue: 5
Pages: 893-920

Score contribution per author:

8.073 = (α=2.02 / 1 authors) × 4.0x S-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

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. Copyright 1988 by University of Chicago Press.

Technical Details

RePEc Handle
repec:ucp:jpolec:v:96:y:1988:i:5:p:893-920
Journal Field
General
Author Count
1
Added to Database
2026-01-25