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Persistence in econometrics
Hi,I'm quite new to econometrics, but I keep coming across the word "persistence" in terms of the model. Could anyone tell me what it actually means?If I'm using the context of an AR model, does an AR(2) model be considered as more persistent than an AR(1) model, since the forecast in the AR(2) model relies on 2 lags?Thanks.
Persistence in econometrics
The term "persistence" refers to how long a shock lasts. If a time series has a unit root, shocks last forever.