A fractional multivariate long memory model for the US and the Canadian real output

DOI10.1016/S0165-1765(03)00217-9zbMath1254.91661OpenAlexW2029432983MaRDI QIDQ1927403

Luis A. Gil-Alana

Publication date: 1 January 2013

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0165-1765(03)00217-9

zbMATH Keywords

fractional integrationlong memorymultivariate tests

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03) Economic time series analysis (91B84) Statistical methods; economic indices and measures (91B82)

Related Items (5)

Fractional integration and impulse responses: a bivariate application to real output in the USA and four Scandinavian countries ⋮ A multivariate long-memory model with structural breaks ⋮ TECHNOLOGY SHOCKS AND HOURS WORKED: A FRACTIONAL INTEGRATION PERSPECTIVE ⋮ Numerical Approximation of Optimal Convergence for Fractional Elliptic Equations with Additive Fractional Gaussian Noise ⋮ Optimal strong convergence of finite element methods for one-dimensional stochastic elliptic equations with fractional noise

Cites Work

• Unnamed Item
• Testing of unit root and other nonstationary hypotheses in macroeconomic time series
• Long memory processes and fractional integration in econometrics
• Efficient Tests of Nonstationary Hypotheses

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