A fractional integration analysis of the population in some OECD countries
AbstractIn this article we examine the degree of persistence of the population series in 19 OECD countries during the period 1948-2000 by means of using fractionally integrated techniques. We use a parametric procedure due to Robinson (1994) that permits us to test I(d) statistical models. The results show that the order of integration of the series substantially varies across countries and also depending on how we specify the I(0) disturbances. Overall, Germany and Portugal present the smallest degrees of integration while population in Japan appears as the most non-stationary series.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Journal of Applied Statistics.
Volume (Year): 30 (2003)
Issue (Month): 10 ()
Contact details of provider:
Web page: http://www.tandfonline.com/CJAS20
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Chambers, Marcus J, 1998.
"Long Memory and Aggregation in Macroeconomic Time Series,"
International Economic Review,
Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(4), pages 1053-72, November.
- Marcus J. Chambers, . "Long Memory and Aggregation in Macroeconomic Time Series," Economics Discussion Papers 437, University of Essex, Department of Economics.
- repec:ner:carlos:info:hdl:10016/4374 is not listed on IDEAS
- Denis Kwiatkowski & Peter C.B. Phillips & Peter Schmidt, 1991.
"Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root: How Sure Are We That Economic Time Series Have a Unit Root?,"
Cowles Foundation Discussion Papers
979, Cowles Foundation for Research in Economics, Yale University.
- Kwiatkowski, Denis & Phillips, Peter C. B. & Schmidt, Peter & Shin, Yongcheol, 1992. "Testing the null hypothesis of stationarity against the alternative of a unit root : How sure are we that economic time series have a unit root?," Journal of Econometrics, Elsevier, vol. 54(1-3), pages 159-178.
- Kwiatkowski, D. & Phillips, P.C.B. & Schmidt, P., 1990. "Testing the Null Hypothesis of Stationarity Against the Alternative of Unit Root : How Sure are we that Economic Time Series have a Unit Root?," Papers 8905, Michigan State - Econometrics and Economic Theory.
- Tom Doan, . "KPSS: RATS procedure to perform KPSS (Kwiatowski, Phillips, Schmidt, and Shin) stationarity test," Statistical Software Components RTS00100, Boston College Department of Economics.
- Baillie, Richard T & Bollerslev, Tim, 1994.
"The long memory of the forward premium,"
Journal of International Money and Finance,
Elsevier, vol. 13(5), pages 565-571, October.
- Gil-Alana, L. & Robinson, P.M., 1998.
"Testing of Seasonal Fractional Integration in U.K. and Japanese Consumption and Income,"
Economics Working Papers
eco98/20, European University Institute.
- L. A. Gil-Alana & P. M. Robinson, 2001. "Testing of seasonal fractional integration in UK and Japanese consumption and income," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(2), pages 95-114.
- L A Gil-Alaña & Peter M Robinson, 2000. "Testing of Seasonal Fractional Integration in UK and Japanese Consumption and Income," STICERD - Econometrics Paper Series /2000/402, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Peter M Robinson & Carlos Velasco, 2000. "Whittle Pseudo-Maximum Likelihood Estimation for Nonstationary Time Series - (Now published in Journal of the American Statistical Association, 95, (2000), pp.1229-1243.)," STICERD - Econometrics Paper Series /2000/391, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- 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.
- repec:ner:carlos:info:hdl:10016/4434 is not listed on IDEAS
- Granger, C. W. J., 1981. "Some properties of time series data and their use in econometric model specification," Journal of Econometrics, Elsevier, vol. 16(1), pages 121-130, May.
- Sowell, Fallaw, 1992. "Maximum likelihood estimation of stationary univariate fractionally integrated time series models," Journal of Econometrics, Elsevier, vol. 53(1-3), pages 165-188.
- Cioczek-Georges, R. & Mandelbrot, B. B., 1995. "A class of micropulses and antipersistent fractional Brownian motion," Stochastic Processes and their Applications, Elsevier, vol. 60(1), pages 1-18, November.
- Gil-Alana, Luis A., 1999. "Testing fractional integration with monthly data," Economic Modelling, Elsevier, vol. 16(4), pages 613-629, December.
- Phillips, P.C.B., 1986.
"Testing for a Unit Root in Time Series Regression,"
Cahiers de recherche
8633, Universite de Montreal, Departement de sciences economiques.
- 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.
- Granger, C. W. J., 1980. "Long memory relationships and the aggregation of dynamic models," Journal of Econometrics, Elsevier, vol. 14(2), pages 227-238, October.
- William R. Parke, 1999. "What Is Fractional Integration?," The Review of Economics and Statistics, MIT Press, vol. 81(4), pages 632-638, November.
- Gil-Alana, Luis A., 2000. "Mean reversion in the real exchange rates," Economics Letters, Elsevier, vol. 69(3), pages 285-288, December.
- Azomahou, Theophile & Mishra, Tapas, 2009.
"Stochastic environmental effects, demographic variation, and economic growth,"
MERIT Working Papers
016, United Nations University - Maastricht Economic and Social Research Institute on Innovation and Technology (MERIT).
- Azomahou, Theophile & Mishra, Tapas, 2009. "Stochastic environmental effects, demographic variation, and economic growth," UNU-MERIT Working Paper Series 016, United Nations University, Maastricht Economic and social Research and training centre on Innovation and Technology.
- Tapas Mishra & Claude Diebolt, 2010. "Demographic volatility and economic growth: convention and beyond," Quality & Quantity: International Journal of Methodology, Springer, vol. 44(1), pages 25-45, January.
- Tapas K., MISHRA, 2004. "The Role of Components of Demographic Change in Economic Development : Whither the Trend ?," Discussion Papers (IRES - Institut de Recherches Economiques et Sociales) 2004023, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
- Théophile Azomahou & Claude Diebolt & Tapas Mishra, 2007.
"Spatial Persistence of Demographic Shocks and Economic Growth,"
07-04, Association Française de Cliométrie (AFC).
- Azomahou, Théophile & Diebolt, Claude & Mishra, Tapas, 2009. "Spatial persistence of demographic shocks and economic growth," Journal of Macroeconomics, Elsevier, vol. 31(1), pages 98-127, March.
- Tapas K. Mishra, 2006. "A Further Look into the Demography-based GDP Forecasting Method," Working Papers of BETA 2006-17, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg.
- Tapas Mishra & Alexia Prskawetz & Mamata Parhi & Claude Diebolt, 2010. "Shock persistence in output and the role of stochastic population growth," Economics Bulletin, AccessEcon, vol. 30(3), pages 2437-2449.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Michael McNulty).
If references are entirely missing, you can add them using this form.