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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
Published by: American Economic Association
Stable URL: http://www.jstor.org/stable/2117525
Page Count: 14
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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.
The American Economic Review © 1993 American Economic Association