IDEAS home Printed from https://ideas.repec.org/a/bpj/bejmac/vtopics.3y2003i1n11.html
   My bibliography  Save this article

Fractional Integration with Bloomfield Disturbances in the Specification of Real Output in the G7 Countries

Author

Listed:
  • Gil-Alana Luis A

    (University of Navarre)

Abstract

The annual structure of real output in the G7 countries is investigated in this article by means of fractional integration techniques. However, instead of using the classical ARMA specifications for describing the short-run components of the series, we use an approach due to Bloomfield (1973). The results reject the null hypothesis of a unit root in all series in favour of higher orders of integration. This indicates that the standard approach of taking first differences to obtain I(0) stationary residuals may lead to series still with a component of long memory behaviour. The possibility of a structural change corresponding to World War II is also examined, and the results confirm that fractional integration is difficult to distinguish from structural break/regime switching models.

Suggested Citation

  • Gil-Alana Luis A, 2003. "Fractional Integration with Bloomfield Disturbances in the Specification of Real Output in the G7 Countries," The B.E. Journal of Macroeconomics, De Gruyter, vol. 3(1), pages 1-15, September.
    • Handle: RePEc:bpj:bejmac:v:topics.3:y:2003:i:1:n:11
    DOI: 10.2202/1534-5998.1139
    as

    Download full text from publisher

    File URL: https://doi.org/10.2202/1534-5998.1139
    Download Restriction: For access to full text, subscription to the journal or payment for the individual article is required.
    File URL: https://libkey.io/10.2202/1534-5998.1139?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Per Frederiksen & Frank S. Nielsen, 2008. "Estimation of Dynamic Models with Nonparametric Simulated Maximum Likelihood," CREATES Research Papers 2008-59, Department of Economics and Business Economics, Aarhus University.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bpj:bejmac:v:topics.3:y:2003:i:1:n:11. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Peter Golla (email available below). General contact details of provider: https://www.degruyter.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.