Unit and fractional roots with deterministic trends in the UK output

Luis Gil-Alana

International Advances in Economic Research, 2002, vol. 8, issue 4, 348-356

Abstract: In this article, the nominal, real, and real per capita GDP series are modeled in the UK by means of fractionally integrated techniques. A version of the tests of Robinson [1994] are used that permits the incorporation of deterministic trends with no effect on the standard (normal) limit distribution of the tests. The results show that the nominal GDP appears to be nonstationary and non-mean reverting, with its order of integration being much higher than 1. The real GDP also appears to be nonstationary and the order of integration fluctuates widely between 0.6 and 1.2. Finally, the real per capita GDP seems to be stationary, either I(0) or I(d), with D positive but close to 0. Copyright International Atlantic Economic Society 2002

Date: 2002
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DOI: 10.1007/BF02295509

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