The Great Depression and Output Persistance
用马尔可夫转换模型估计1870-1994年GDP的产出持续性，发现若允许大萧条期间方差变化，实际冲击的影响是永久性的。
The persistence of shocks to aggregate output has been the subject of continuing investigation since Nelson and Plosser (1982) suggested they are largely permanent. Recent literature reaches mixed conclusions, largely due to disagreement about how to treat the Great Depression. We estimate output persistence based on a parametric bootstrap of a Markov-switching model for GDP 1870Ð1994 in which the economy can switch in and out of a turbulent state. Our results suggest that real shocks persist indefinitely if we drop the maintained assumption of homoskedasticity in favor of a Markov-switching representation of the Great Depression.