A Fractionally Integrated Model for the Croatian Aggregate Output (GDP) Series

Marinko Skare and Saša Stjepanović

Economic Research-Ekonomska Istraživanja, 2013, vol. 26, issue 2, 1-34

Abstract: The general characteristics of output fluctuations in Croatia are examined under fractional integration framework. This paper evaluate the existence of long memory in real output decomposing fluctuations to transitory and permanent components. The results suggest that Croatian real output series behavior is best identified as ARFIMA model with order of integration 0.5

Date: 2013
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DOI: 10.1080/1331677X.2013.11517604

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