IDEAS home Printed from https://ideas.repec.org/a/ijb/journl/v6y2007i2p135-146.html
   My bibliography  Save this article

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, College of Business and College of Finance, 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
    as

    Download full text from publisher

    File URL: http://www.ijbe.org/table%20of%20content/pdf/vol6-2/vol6-2-04.pdf
    Download Restriction: no

    File URL: http://www.ijbe.org/table%20of%20content/abstract/Vol.6/No.2/04.htm
    Download Restriction: no

    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.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    multivariate tests; fractional integration; long memory;

    JEL classification:

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

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ijb:journl:v:6:y:2007:i:2:p:135-146. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Yi-Ju Su). General contact details of provider: http://edirc.repec.org/data/cbfcutw.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.