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

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  • Gil-Alana, L. A.

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File URL: http://www.sciencedirect.com/science/article/B6V84-49PYR3W-2/2/b7c72b502d302efe866b679f42248eac
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Bibliographic Info

Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 81 (2003)
Issue (Month): 3 (December)
Pages: 355-359

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Handle: RePEc:eee:ecolet:v:81:y:2003:i:3:p:355-359

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Web page: http://www.elsevier.com/locate/ecolet

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  1. Diebold, Francis X. & Rudebusch, Glenn D., 1989. "Long memory and persistence in aggregate output," Journal of Monetary Economics, Elsevier, vol. 24(2), pages 189-209, September.
  2. Gil-Alana, L. A. & Robinson, P. M., 1997. "Testing of unit root and other nonstationary hypotheses in macroeconomic time series," Journal of Econometrics, Elsevier, vol. 80(2), pages 241-268, October.
  3. Baillie, Richard T., 1996. "Long memory processes and fractional integration in econometrics," Journal of Econometrics, Elsevier, vol. 73(1), pages 5-59, July.
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Cited by:
  1. Belbute, José, 2013. "Does final demand for energy in Portugal exhibit long memory?," MPRA Paper 45717, University Library of Munich, Germany.
  2. Imene Mootamri, 2011. "Long Memory Process in Asset Returns with Multivariate GARCH innovations," Working Papers halshs-00599250, HAL.
  3. Luis A. Gil-Alana, 2007. "A Multivariate Long Memory Model for the Specification of Real Output in the US, the UK, and Canada," International Journal of Business and Economics, College of Business, and College of Finance, Feng Chia University, Taichung, Taiwan, vol. 6(2), pages 135-146, August.
  4. Lean, Hooi Hooi & Smyth, Russell, 2009. "Long memory in US disaggregated petroleum consumption: Evidence from univariate and multivariate LM tests for fractional integration," Energy Policy, Elsevier, vol. 37(8), pages 3205-3211, August.
  5. Luis Alberiko Gil-Alana & Antonio Moreno, . "Technology Shocks and Hours Worked: A Fractional Integration Perspective," Faculty Working Papers 03/06, School of Economics and Business Administration, University of Navarra.
  6. Apergis, Nicholas & Tsoumas, Chris, 2011. "Integration properties of disaggregated solar, geothermal and biomass energy consumption in the U.S," Energy Policy, Elsevier, vol. 39(9), pages 5474-5479, September.
  7. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2007. "A Multivariate Long-Memory Model with Structural Breaks," CESifo Working Paper Series 1950, CESifo Group Munich.

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