A Multivariate Long Memory Model for the Specification of Real Output in the US, the UK, and Canada
This paper deals with a multivariate long memory model for the specification of real output in the US, the UK, and Canada. We examine the orders of integration of the three time series first individually and then allow cross dependence between observations. Performing univariate analysis, results show that the three series have orders of integration higher than 1, especially Canada. The multivariate model supports this view, finding conclusive evidence of non-stationarity for the three series and higher orders of integration for Canada than for the UK or the US. With respect to the cross-dependence structure, it seems that the US and Canada, and the US with the UK present the highest degrees of correlation across countries.
Volume (Year): 6 (2007)
Issue (Month): 2 (August)
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- 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.
- Robinson, P. M., 1991. "Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression," Journal of Econometrics, Elsevier, vol. 47(1), pages 67-84, January.
- Gil-Alana, L. A., 2003. "A fractional multivariate long memory model for the US and the Canadian real output," Economics Letters, Elsevier, vol. 81(3), pages 355-359, December.
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