Testing of I(d) processes in the real output

Luis Gil-Alana

Economics Bulletin, 2004, vol. 3, issue 32, 1-6

Abstract: 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.

JEL-codes: C2 C5 (search for similar items in EconPapers)
Date: 2004-09-16
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