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(UMI)AAI9512488 Newbold, Paul Miller, John Paul 2011-05-07T12:33:54Z 2011-05-07T12:33:54Z 10000-01-01 1994 This thesis addresses the issue of estimating persistence of economic shocks using time series models. First, it is shown that the log likelihood function for ARIMA models is not strictly quadratic with respect to the persistence estimate. This result explains why the persistence literature has attained conflicting results. In addition, nonparametric estimates of persistence based on the variance ratio are analyzed. It is found that the distribution of the variance ratio statistic depends upon the data generating process of ARIMA models, and that the variance ratio for log U.S. GNP falls within the bounds of simulated variance ratios for models with persistence of zero and persistence greater than one. However, a model adequacy test based on the variance ratio is derived for ARIMA(p, 1, q) model specification; the distribution of the test statistic does not depend upon unknown model parameters. Finally, persistence is analyzed within a multivariate framework. A permanent/transitory components model representation is found for a bivariate vector autoregression for log U.S. GNP and unemployment rates. It is found that there is considerable uncertainty about both the persistence of the permanent component and the implied univariate persistence for even lightly parameterized vector autoregression models. Made available in DSpace on 2011-05-07T12:33:54Z (GMT). No. of bitstreams: 2 license.txt: 4922 bytes, checksum: 910b249b4beec47e7ab768910c8f966f (MD5) 9512488.pdf: 3332321 bytes, checksum: 6fb8d11db63b9d69b146a022986a5f14 (MD5) Previous issue date: 1994 Item marked as restricted to the 'UIUC Users [automated]' Group (id=2) by Howard Ding (hding2@illinois.edu) on 2011-05-07T14:42:41Z Item is restricted indefinitely. Restriction data tranferred 2014-07-01T11:18:35-05:00 Original Data Group with Access UIUC Users [automated] Release Date: none Reason: ETDs are only available to UIUC Users without author permission ETDs are only available to UIUC Users without author permission U of I Only AAI9512488 http://hdl.handle.net/2142/20257 eng Copyright 1994 Miller, John Paul Economics, General Time series analysis of macroeconometric constructs text Economics Economics University of Illinois at Urbana-Champaign Dissertation Ph.D.