Nelson–Plosser revisited: The ACF approach

We detect a new stylized fact that is common to the dynamics of all macroeconomic series, including financial aggregates. Their Auto-Correlation Functions (ACFs) share a common four-parameter functional form that arises from the dynamics of a general equilibrium model with heterogeneous firms. We fi...

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Bibliographische Detailangaben

Veröffentlicht in:	Journal of econometrics 2013-07, Vol.175 (1), p.22-34
Hauptverfasser:	Abadir, Karim M., Caggiano, Giovanni, Talmain, Gabriel
Format:	Artikel
Sprache:	eng
Schlagworte:	Econometrics Economic theory Financial analysis General economic equilibrium Macroeconomic policy Macroeconomics Mathematical functions Regression analysis Studies
Online-Zugang:	Volltext
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