The aim of the paper is to determine whether or not the volatility of the growth rate of US output has changed in the period since late 1940's, and to attribute a precise date, if possible, to any such change. By applying the Discrete Wavelet Transform (DWT) to the annualized quarter-to quarter output growth series, we can test the homogeneity of the variance on a scale by scale basis without needing to fit a parametric model to the observed time series. A version of the Inclan and Tiao (1994) Normalised and Centered Cumulative Sum of Squares test, adapted to wavelet analysis, leads us to reject the null hypothesis of constant variance in the two levels of decomposition of the highest resolution or frequency and to locate a single break in 1982. The economic implications are explored.

Lo Cascio, I. (2013). The Decline in U.S. Output Growth Volatility: A Wavelet Analysis. MANCHESTER SCHOOL, 81(2), 226-242 [10.1111/j.1467-9957.2011.02273.x].

The Decline in U.S. Output Growth Volatility: A Wavelet Analysis

LO CASCIO, Iolanda
2013-01-01

Abstract

The aim of the paper is to determine whether or not the volatility of the growth rate of US output has changed in the period since late 1940's, and to attribute a precise date, if possible, to any such change. By applying the Discrete Wavelet Transform (DWT) to the annualized quarter-to quarter output growth series, we can test the homogeneity of the variance on a scale by scale basis without needing to fit a parametric model to the observed time series. A version of the Inclan and Tiao (1994) Normalised and Centered Cumulative Sum of Squares test, adapted to wavelet analysis, leads us to reject the null hypothesis of constant variance in the two levels of decomposition of the highest resolution or frequency and to locate a single break in 1982. The economic implications are explored.
2013
Settore SECS-P/05 - Econometria
Lo Cascio, I. (2013). The Decline in U.S. Output Growth Volatility: A Wavelet Analysis. MANCHESTER SCHOOL, 81(2), 226-242 [10.1111/j.1467-9957.2011.02273.x].
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10447/79653
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