Caporale, Guglielmo Maria; Škare, Marinko - 2014
This paper analyses the long-memory properties of both the conditional mean and variance of UK real GDP over the period … actions are required to restore equilibrium. The estimate of the long-memory parameter (1.37) is similar to that reported by … Candelon and Gil-Alana (2004), implying that aggregate output is not an I(1) process. The presence of long memory in output …