Infant mortality rates: time trends and fractional integration

Guglielmo Maria Caporale and Luis Gil-Alana

Journal of Applied Statistics, 2015, vol. 42, issue 3, 589-602

Abstract: This paper examines the existence of time trends in the infant mortality rates in a number of countries in the twentieth century. We test for the presence of deterministic trends by adopting a linear model for the log-transformed data. Instead of assuming that the error term is a stationary I (0), or alternatively, a non-stationary I (1) process, we allow for the possibility of fractional integration and hence for a much greater degree of flexibility in the dynamic specification of the series. Indeed, once the linear trend is removed, all series appear to be I ( d ) with 0> d >1, implying long-range dependence. As expected, the time trend coefficients are significantly negative, although of a different magnitude from those obtained assuming integer orders of differentiation.

Date: 2015
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DOI: 10.1080/02664763.2014.980785

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