FRACTIONAL-INTEGRATION ANALYSIS OF LONG-RUN BEHAVIOR FOR US MACROECONOMIC TIME-SERIES

Authors
CRATO N ROTHMAN P
Citation
N. Crato et P. Rothman, FRACTIONAL-INTEGRATION ANALYSIS OF LONG-RUN BEHAVIOR FOR US MACROECONOMIC TIME-SERIES, Economics letters, 45(3), 1994, pp. 287-291
Citations number
10
Categorie Soggetti
Economics
Journal title
Economics letters → ACNP
ISSN journal
01651765
Volume
45
Issue
3
Year of publication
1994
Pages
287 - 291
Database
ISI
SICI code
0165-1765(1994)45:3<287:FAOLBF>2.0.ZU;2-E
Abstract
We apply a new ARFIMA approach to distinguish between the trend and di fference stationary models of long-run dynamics for a well-known repre sentative macroeconomic dataset. Our results strengthen the case for t he difference stationary model for these series.