Arbeitspapier
Forecasting the real output using fractionally integrated techniques
The annual structure of the real GDP in the UK, France, Germany and Italy is examined in this article by means of fractionally integrated techniques. Using a version of a testing procedure due to Robinson (1994), we show 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 at the end of the article.
- Language
-
Englisch
- Bibliographic citation
-
Series: SFB 373 Discussion Paper ; No. 2001,27
- Classification
-
Wirtschaft
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- Subject
-
Long memory
Fractional integration
Nonstationarity
- Event
-
Geistige Schöpfung
- (who)
-
Gil-Alaña, Luis A.
- Event
-
Veröffentlichung
- (who)
-
Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
- (where)
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Berlin
- (when)
-
2001
- Handle
- URN
-
urn:nbn:de:kobv:11-10049553
- Last update
-
10.03.2025, 11:42 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Gil-Alaña, Luis A.
- Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
Time of origin
- 2001
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