2005-10-12Buch DOI: 10.18452/3539
Forecasting the Real Output Using Fractionally Integrated Techniques
Gil-Alaña, Luis A.
The annual structure of the real GDP in the UK, France, Germany and Italy is examined in this article by means of fractionally integrated techniques. Using a version of a testing procedure due to Robinson (1994), we show 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 at the end of the article.
Dateien zu dieser Publikation