Confidence intervals for fractionally integrated hypotheses in the real output across Europe

Confidence intervals for the fractional differencing parameter are established in this article for the real output in several European countries. They are based on a testing procedure due to Robinson (Journal of the American Statistical Association, 89, 1420-37, 1994) and the results indicate that these confidence intervals are relatively wide, the unit root null hypothesis being rejected in practically all cases.

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Year of publication:	2002
Authors:	Gil-Alana, Luis
Published in:	Applied Economics Letters. - Taylor & Francis Journals, ISSN 1350-4851. - Vol. 9.2002, 6, p. 407-409
Publisher:	Taylor & Francis Journals

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009189289