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A fractional integration analysis of the population in some OECD countries

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  • L. A. Gil-Alana

Abstract

In 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.

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Bibliographic Info

Article provided by Taylor & Francis Journals in its journal Journal of Applied Statistics.

Volume (Year): 30 (2003)
Issue (Month): 10 ()
Pages: 1147-1159

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Handle: RePEc:taf:japsta:v:30:y:2003:i:10:p:1147-1159

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  1. Gil-Alana, Luis A., 2000. "Mean reversion in the real exchange rates," Economics Letters, Elsevier, vol. 69(3), pages 285-288, December.
  2. Gil-Alana, Luis A., 1999. "Testing fractional integration with monthly data," Economic Modelling, Elsevier, vol. 16(4), pages 613-629, December.
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  8. 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.
  9. 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.
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  12. 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.
  13. L. A. Gil-Alaña & Peter M. Robinson, 2001. "Testing of seasonal fractional integration in UK and Japanese consumption and income," LSE Research Online Documents on Economics 298, London School of Economics and Political Science, LSE Library.
  14. William R. Parke, 1999. "What Is Fractional Integration?," The Review of Economics and Statistics, MIT Press, vol. 81(4), pages 632-638, November.
  15. 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.
  16. 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.
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Cited by:
  1. Théophile Azomahou & Claude Diebolt & Tapas Mishra, 2007. "Spatial Persistence of Demographic Shocks and Economic Growth," Working Papers 07-04, Association Française de Cliométrie (AFC).
  2. 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.
  3. 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.
  4. 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).
  5. 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).
  6. 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.

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