Australian output fluctuations : permanent or transitory?

Ping, Tan Siew. (1987). Australian output fluctuations : permanent or transitory? Honours Thesis, School of Economics, University of Queensland.

       
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Author Ping, Tan Siew.
Thesis Title Australian output fluctuations : permanent or transitory?
School, Centre or Institute School of Economics
Institution University of Queensland
Publication date 1987
Thesis type Honours Thesis
Total pages 120
Language eng
Subjects 14 Economics
Formatted abstract This thesis examines the behaviour of aggregate output using Australian data. One objective is to determine whether aggregate output growth is better characterized by a deterministic trend model or by a stochastic trend model. The presence of a unit autoregressive (AR) root in the ARMA model for the levels of log-output would indicate a stochastic trend, while the presence of a unit moving average (MA) root in the ARMA model for the first differences of log-output would indicate a deterministic trend. A second objective is to estimate impulse response functions for the levels of log-output, which provide information on the effects of output shocks over a finite as well horizon. Other non-parametric measures of the persistence of output shocks are also obtained. The results for Australian GDP and gross non-farm product support the use of stochastic trend models, and provide evidence of output shocks having a persistent effect. However, the results for gross farm product indicate low persistence, as well as the possibility of a deterministic trend model being appropriate for charactering farm output behaviour.
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Created: Tue, 23 Nov 2010, 14:59:48 EST by Ning Jing on behalf of The University of Queensland Library