Abstract
In this paper, the author reexamines previous work on the stochastic structure of velocity by analyzing velocity over varying degrees of time aggregation and implements the augmented Dickey-Fuller tests to differentiate between trend versus difference stationary processes. It is found for both monthly and quarterly data that the four velocity measures analyzed follow a difference stationary process. The appropriate ARIMA representation to the respective velocity measures were estimated for three periods: (1) 1959 to 1990, (2) 1959 to 1979, and (3) 1979 to 1990. All the monthly velocity measures were found to follow different ARIMA representations across the three periods analyzed. However, for the quarterly velocity measures analyzed, only velocity measures based upon M1 and M2 differ across the three periods. Thus, there is some evidence that the stochastic structure of velocity has changed over time.
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Payne, J.E. Stochastic structure of alternative measures of velocity. J Econ Finan 16, 101–111 (1992). https://doi.org/10.1007/BF02920312
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DOI: https://doi.org/10.1007/BF02920312