^{27}We generate 10,000 replications of a process with 180 observations, which corresponds to 45 years of
quarterly observations. The mean and median ﬁrst autocorrelations (across replications) of such a
process with ς = 4 are 0.956 and 0.965, respectively. In comparison, the mean and median of
sample ﬁrst autocorrelations of a pure random walk are 0.970 and 0.977 (with 180 observations),
respectively.