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A Multivariate Long Memory Model for the Specification of Real Output in the US, the UK, and Canada

Author

Listed:
  • Luis A. Gil-Alana

    (Faculty of Economics, University of Navarra, Spain)

Abstract

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.

Suggested Citation

  • Luis A. Gil-Alana, 2007. "A Multivariate Long Memory Model for the Specification of Real Output in the US, the UK, and Canada," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 6(2), pages 135-146, August.
    • Handle: RePEc:ijb:journl:v:6:y:2007:i:2:p:135-146
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    References listed on IDEAS

    as
    1. 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.
    2. 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.
    3. 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.
    4. Christos Agiakloglou & Paul Newbold, 1994. "Lagrange Multiplier Tests For Fractional Difference," Journal of Time Series Analysis, Wiley Blackwell, vol. 15(3), pages 253-262, May.
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    Cited by:

    1. Imene Mootamri, 2011. "Long Memory Process in Asset Returns with Multivariate GARCH innovations," Working Papers halshs-00599250, HAL.

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    Keywords

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    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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