Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/62689
Authors: 
Gil-Alaña, Luis A.
Year of Publication: 
2001
Series/Report no.: 
Discussion Papers, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes 2001,27
Abstract: 
The annual structure of the real GDP in the UK, France, Germany and Italy is examined in this article by means of fractionally integrated techniques. Using a version of a testing procedure due to Robinson (1994), we show that the series can be specified in terms of I(d) statistical models with d higher than 1. Thus, the series are nonstationary and non-mean-reverting. The forecasting properties of the selected models for each country are also examined at the end of the article.
Subjects: 
Long memory
Fractional integration
Nonstationarity
JEL: 
C22
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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