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On the Statistical Properties of a Simple Index of Persistence: Theory and Empirical Applications
2011
Social Science Research Network
The issue of estimating the persistence of a dynamic process arises frequently in many micro and macro applied exercises. In this note we study the statistical properties of a simple index of persistence. We show that the index is normally-distributed and we estimate its expected value and standard deviations under different benchmark null hypotheses for the underlying data-generating mechanisms. Finally, we present a macroeconomic application to exemplify how to statistically discriminate
doi:10.2139/ssrn.2000339
fatcat:gn6m2gjmo5hi3lbwbbccy6byte