Forecasting the real output using fractionally integrated techniques

Luis Gil-Alana

Applied Economics, 2004, vol. 36, issue 14, 1583-1589

Abstract: The annual structure of the real GDP in the UK, France, Germany and Italy is examined by means of fractionally integrated techniques. Using a version of a testing procedure due to Robinson (Journal of the American Statistical Association, 84, 1420-37, 1994), it is shown that the series can be specified in terms of I(d ) statistical models with d higher than 1. Thus, the series are nonstationary and non-mean-reverting. The forecasting properties of the selected models for each country are also examined.

Date: 2004
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.tandfonline.com/doi/abs/10.1080/0003684042000269475 (text/html)
Access to full text is restricted to subscribers.

Related works:
Working Paper: Forecasting the real output using fractionally integrated techniques (2001)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:applec:v:36:y:2004:i:14:p:1583-1589

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEC20

DOI: 10.1080/0003684042000269475

Access Statistics for this article

Applied Economics is currently edited by Anita Phillips

More articles in Applied Economics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().