Detalle Publicación

ARTÍCULO
Measuring the degree of persistence in the US economic policy uncertainty index
Título de la revista: APPLIED ECONOMICS LETTERS
ISSN: 1350-4851
Volumen: 27
Número: 10
Páginas: 831 - 835
Fecha de publicación: 2020
Lugar: WOS
Resumen:
Researchers utilizing the U.S economic policy uncertainty index and its sub-categories need to be cognizant of the unique persistence profile of each index. We use fractional integration techniques to estimate the degree of persistence in the U.S. economic policy uncertainty index and its 11 sub-categories. The results indicate the estimated values of the differencing parameter, d, are in the interval (0, 1) supporting fractional integration and rejecting the classical models based on stationarity (d = 0) or unit roots (d = 1). Though there is a fair amount of heterogeneity across indices, shocks will be persistent, but mean reverting.