FRACTIONAL-INTEGRATION, TREND STATIONARITY AND DIFFERENCE STATIONARITY EVIDENCE FROM SOME U.K. MACROECONOMIC TIME-SERIES

Authors
CHAMBERS MJ
Citation
Mj. Chambers, FRACTIONAL-INTEGRATION, TREND STATIONARITY AND DIFFERENCE STATIONARITY EVIDENCE FROM SOME U.K. MACROECONOMIC TIME-SERIES, Economics letters, 50(1), 1996, pp. 19-24
Citations number
10
Categorie Soggetti
Economics
Journal title
Economics letters → ACNP
ISSN journal
01651765
Volume
50
Issue
1
Year of publication
1996
Pages
19 - 24
Database
ISI
SICI code
0165-1765(1996)50:1<19:FTSADS>2.0.ZU;2-7
Abstract
Fractionally integrated autoregressive moving average models are used to test trend stationarity and difference stationarity in the logarith ms of five U.K. macroeconomic time series. Three series are found to b e difference stationarity, while the remaining two are best described by a nonstationary fractional model.