A Multivariate Long Memory Model for the Specification of Real Output in the US, the UK, and Canada

Luis Gil-Alana

International Journal of Business and Economics, 2007, vol. 6, issue 2, 135-146

Abstract: This paper deals with a multivariate long memory model for the specification of real output in the US, the UK, and Canada. We examine the orders of integration of the three time series first individually and then allow cross dependence between observations. Performing univariate analysis, results show that the three series have orders of integration higher than 1, especially Canada. The multivariate model supports this view, finding conclusive evidence of non-stationarity for the three series and higher orders of integration for Canada than for the UK or the US. With respect to the cross-dependence structure, it seems that the US and Canada, and the US with the UK present the highest degrees of correlation across countries.

Keywords: multivariate tests; fractional integration; long memory (search for similar items in EconPapers)
JEL-codes: C22 (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (1)

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