Confidence intervals for fractionally integrated hypotheses in the real output across Europe
Confidence intervals for the fractional differencing parameter are established in this article for the real output in several European countries. They are based on a testing procedure due to Robinson (Journal of the American Statistical Association, 89, 1420-37, 1994) and the results indicate that these confidence intervals are relatively wide, the unit root null hypothesis being rejected in practically all cases.
Volume (Year): 9 (2002)
Issue (Month): 6 ()
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