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Long-Run Neutrality and Superneutrality in an ARIMA Framework

Mark E. Fisher and John J. Seater
The American Economic Review
Vol. 83, No. 3 (Jun., 1993), pp. 402-415
Stable URL: http://www.jstor.org/stable/2117525
Page Count: 14
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Long-Run Neutrality and Superneutrality in an ARIMA Framework
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Abstract

We (i) formalize long-run neutrality (LRN) and long-run superneutrality (LRSN) in the context of a bivariate ARIMA model, (ii) show how the restrictions implied by LRN and LRSN depend on the orders of integration of the variables, (iii) apply our analysis to previous work, showing how that work is related to LRN and LRSN, and (iv) provide some new evidence on LRN and LRSN.

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