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An alternative measure of random walk components in time series

Authors
Publisher
Elsevier B.V.
Publication Date
Volume
24
Issue
3
Identifiers
DOI: 10.1016/0165-1765(87)90121-2

Abstract

Abstract A measure of random walk components in time series having unit root components is proposed to correct some undesirable features of those used in the literature. The quarterly US real GNP from 1947.1 to 1986.2 contains about 27% of random walk component according to this measure.

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