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Fractional integration and impulse responses: a bivariate application to real output in the USA and four Scandinavian countries

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  • Guglielmo Maria Caporale
  • Luis Gil-Alana

Abstract

This article analyzes impulse response functions in the context of vector fractionally integrated time series. We derive analytically the restrictions required to identify the structural-form system. As an illustration of the recommended procedure, we carry out an empirical application based on a bivariate system including real output in the USA and, in turn, in one of the four Scandinavian countries (Denmark, Finland, Norway, and Sweden). The empirical results appear to be sensitive, to some extent, to the specification of the stochastic process driving the disturbances, but generally a positive shock to US output has a positive effect on the Scandinavian countries, which tend to disappear in the long run.

Suggested Citation

  • Guglielmo Maria Caporale & Luis Gil-Alana, 2011. "Fractional integration and impulse responses: a bivariate application to real output in the USA and four Scandinavian countries," Journal of Applied Statistics, Taylor & Francis Journals, vol. 38(1), pages 71-85.
    • Handle: RePEc:taf:japsta:v:38:y:2011:i:1:p:71-85
    DOI: 10.1080/02664760903254060
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    Cited by:

    1. Tschernig, Rolf & Weber, Enzo & Weigand, Roland, 2014. "Long- versus medium-run identification in fractionally integrated VAR models," Economics Letters, Elsevier, vol. 122(2), pages 299-302.

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