Confidence intervals for fractionally integrated hypotheses in the real output across Europe

Luis Gil-Alana

Applied Economics Letters, 2002, vol. 9, issue 6, 407-409

Abstract: Confidence intervals for the fractional differencing parameter are established in this article for the real output in several European countries. They are based on a testing procedure due to Robinson (Journal of the American Statistical Association, 89, 1420-37, 1994) and the results indicate that these confidence intervals are relatively wide, the unit root null hypothesis being rejected in practically all cases.

Date: 2002
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DOI: 10.1080/13504850110086783

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