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Forecasting the real output using fractionally integrated techniques

The annual structure of the real GDP in the UK, France, Germany and Italy is examined by means of fractionally integrated techniques. Using a version of a testing procedure due to Robinson (Journal of the American Statistical Association, 84, 1420-37, 1994), it is shown that the series can be specified in terms of I(d ) statistical models with d higher than 1. Thus, the series are nonstationary and non-mean-reverting. The forecasting properties of the selected models for each country are also examined.

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Article provided by Taylor & Francis Journals in its journal Applied Economics.

Volume (Year): 36 (2004)
Issue (Month): 14 ()
Pages: 1583-1589

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Handle: RePEc:taf:applec:v:36:y:2004:i:14:p:1583-1589
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  1. L. A. Gil-Alana & P. M. Robinson, 2001. "Testing of seasonal fractional integration in UK and Japanese consumption and income," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(2), pages 95-114.
  2. Granger, C. W. J., 1980. "Long memory relationships and the aggregation of dynamic models," Journal of Econometrics, Elsevier, vol. 14(2), pages 227-238, October.
  3. Diebold, Francis X. & Rudebusch, Glenn D., 1989. "Long memory and persistence in aggregate output," Journal of Monetary Economics, Elsevier, vol. 24(2), pages 189-209, September.
  4. Baillie, Richard T & Bollerslev, Tim, 1994. " Cointegration, Fractional Cointegration, and Exchange Rate Dynamics," Journal of Finance, American Finance Association, vol. 49(2), pages 737-45, June.
  5. Luis A. Gil-Alana, 2003. "Testing of Fractional Cointegration in Macroeconomic Time Series," Faculty Working Papers 09/03, School of Economics and Business Administration, University of Navarra.
  6. L. A. Gil-Alaña & Peter M. Robinson, 2001. "Testing of seasonal fractional integration in UK and Japanese consumption and income," LSE Research Online Documents on Economics 298, London School of Economics and Political Science, LSE Library.
  7. Gil-Alana, Luis A., 2000. "Mean reversion in the real exchange rates," Economics Letters, Elsevier, vol. 69(3), pages 285-288, December.
  8. Granger, C. W. J., 1981. "Some properties of time series data and their use in econometric model specification," Journal of Econometrics, Elsevier, vol. 16(1), pages 121-130, May.
  9. Schmidt, Peter & Phillips, C B Peter, 1992. "LM Tests for a Unit Root in the Presence of Deterministic Trends," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 54(3), pages 257-87, August.
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