Persistence of shocks on seasonal processes
研究季度观测的季节性整合过程中冲击持续性的测量方法，提出基于累积脉冲响应函数的参数化度量，并将非参数方法应用于意大利GDP和农业产出数据。
The paper addresses the issue of measuring the persistence of shocks on seasonally integrated processes observed at quarterly intervals. We show that the amplitude of the limiting cycle described by the cumulated impulse response function provides a parametric measure of persistence and that Cochrane's normalized variance ratio can correspondingly be extended as a non-parametric counterpart. For illustrative purposes the latter is applied to the Italian GDP and to the output of the agricultural sector.