Testing of I(d) processes in the real output

The real GDP series of sixteen European countries along with Japan, Canada and the US are examined in this paper by means of fractional integration techniques. The results crucially depend on how we specify the I(0) disturbances, as white noise or autoregressions. Thus, in the former case the orders of integration are higher than 1 in all cases, while using autoregressions the values are all strictly smaller than 1 implying mean reverting behaviour.

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Year of publication:	2004-09-16
Authors:	Gil-Alana, Luis A.
Published in:	Economics Bulletin. - AccessEcon, ISSN 1545-2921. - Vol. 3.2004, 32, p. 1-6
Publisher:	AccessEcon

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Extent:	application/pdf
Type of publication:	Article
Classification:	C2 - Econometric Methods: Single Equation Models ; C5 - Econometric Modeling
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010629279