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Predictable Recoveries.
- Source :
- Economica; Apr2016, Vol. 83 Issue 330, p307-337, 31p
- Publication Year :
- 2016
-
Abstract
- A random walk with drift is a good univariate representation of US GDP. This paper shows, however, that US economic downturns have been associated with predictable short-term recoveries and with changes in long-term GDP forecasts that are substantially smaller than the initial drop. To detect these predictable changes, it is important to use a multivariate time series model. We discuss reasons why univariate representations can miss key characteristics of the underlying variable such as predictability, especially during recessions. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 00130427
- Volume :
- 83
- Issue :
- 330
- Database :
- Complementary Index
- Journal :
- Economica
- Publication Type :
- Academic Journal
- Accession number :
- 113545795
- Full Text :
- https://doi.org/10.1111/ecca.12185