The Relative Importance of Permanent and Transitory Components: Identification and Some Theoretical Bounds
指出，除非永久成分是随机游走，否则用GNP增量的谱密度在零频率处的值无法识别永久成分的大小，并推导了合理测度的理论界限，说明随机游走设定会高估永久成分的重要性。
Much macroeconometric discussion has recently emphasized the economic significance of the size of the permanent component in GNP.Consequently, a large literature has developed that tries to estimate this magnitude-measured, essentially, as the spectral density of increments in GNP at frequency zero.This paper shows that unless the permanent component is a random walk this attention has been misplaced: in general, that quantity does not identify the magnitude of the permanent component.Further, by developing bounds on reasonable measures of this magnitude, the paper shows that a random walk specification is biased towards establishing the permanent component as important.