Modelling the US real GNP with fractionally integrated techniques

C-Tier
Journal: Applied Economics
Year: 2004
Volume: 36
Issue: 8
Pages: 873-879

Score contribution per author:

1.005 = (α=2.01 / 1 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

The US real GNP is analysed by means of fractionally integrated techniques. LM tests proposed by Robinson for testing unit roots and other fractionally integrated hypotheses are applied to the quarterly GNP series and to its log-transformation. The maximum likelihood estimation procedure of Sowell for estimating ARFIMA models is implemented. The results indicate that the order of integration of the US real output is much higher than one, and thus, the standard approach of taking first differences may still produce series with long memory behaviour.

Technical Details

RePEc Handle
repec:taf:applec:v:36:y:2004:i:8:p:873-879
Journal Field
General
Author Count
1
Added to Database
2026-01-25