On the Statistical Properties of a Simple Index of Persistence: Theory and Empirical Applications

Giorgio Fagiolo
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
more » ... en high and low levels of the index according to the maintained null hypothesis. JEL codes: C1, C4, F1, E3
doi:10.2139/ssrn.2000339 fatcat:gn6m2gjmo5hi3lbwbbccy6byte