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Semiparametric estimation of the fractional differencing parameter in the UK industrial production index

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  • Luis Gil-Alana

Abstract

The order of integration of the industrial production index in the UK is investigated by means of semiparametric techniques in the time and in the frequency domain. Several methods like the R\S statistic, along with others proposed by Robinson in a number of articles are applied to various differenced transformations of the log of the series. These methods perform poorly when using the time domain approaches, however, when using the frequency domain, the results are fairly conclusive. Evidence is found of a unit root at the zero frequency in the logged series whether or not the series is monthly seasonally differenced first.

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  • Luis Gil-Alana, 2004. "Semiparametric estimation of the fractional differencing parameter in the UK industrial production index," Applied Economics, Taylor & Francis Journals, vol. 36(11), pages 1205-1217.
    • Handle: RePEc:taf:applec:v:36:y:2004:i:11:p:1205-1217
    DOI: 10.1080/0003684042000247389
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    2. Lo, Andrew W, 1991. "Long-Term Memory in Stock Market Prices," Econometrica, Econometric Society, vol. 59(5), pages 1279-1313, September.
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