A FRACTIONALLY INTEGRATED MODEL FOR THE CROATIAN AGGREGATE OUTPUT (GDP) SERIES

被引：0

作者：

Skare, Marinko ^{[1
]}

Stjepanovic, Sasa ^{[1
]}

机构：

[1] Juraj Dobrila Univ Pula, Dept Econ & Tourism Dr Mijo Mirkovic, Pula, Croatia

来源：

ECONOMIC RESEARCH-EKONOMSKA ISTRAZIVANJA | 2013年 / 26卷 / 02期

关键词：

Fractional integration; ARFIMA; Impulse response; Real GDP Croatia; Long memory; LOCAL WHITTLE ESTIMATION; LONG MEMORY; TIME-SERIES; UNIT ROOTS; NONSTATIONARY; REGRESSION; TESTS;

D O I：

暂无

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

The general characteristics of output fluctuations in Croatia are examined under fractional integration framework. This paper evaluate the existence of long memory in real output decomposing fluctuations to transitory and permanent components. The results suggest that Croatian real output series behavior is best identified as ARFIMA model with order of integration as < d <1.5. This suggests that macroeconomic shocks in real output are highly persistent. Unlike other studies in Croatia that find real output to be I(0) or I(1) variable, test results from this study indicate that real output show the characteristics of long memory with mean reversion (fractional integration).

引用

页码：1 / 33

页数：33

共 50 条

[1] Measuring persistence in aggregate output: ARMA models, fractionally integrated ARMA models and nonparametric procedures
Hauser M.A.
Pötscher B.M.
Reschenhofer E.
Empirical Economics, 1999, 24 (2) : 243 - 269
[2] Fractionally integrated curve time series with cointegration
Seo, Won-Ki
Shang, Han Lin
ELECTRONIC JOURNAL OF STATISTICS, 2024, 18 (02): : 3858 - 3902
[3] Nonstationary fractionally integrated functional time series
Li, Degui
Robinson, Peter M.
Shang, Han Lin
BERNOULLI, 2023, 29 (02) : 1505 - 1526
[4] Sample autocorrelations of nonsationary fractionally integrated series
U. Hassler
Statistical Papers, 1997, 38 : 43 - 62
[5] Forecasting the real output using fractionally integrated techniques
Gil-Alana, LA
APPLIED ECONOMICS, 2004, 36 (14) : 1583 - 1589
[6] Sample autocorrelations of nonstationary fractionally integrated series
Hassler, U
STATISTICAL PAPERS, 1997, 38 (01) : 43 - 62
[7] ESTIMATING FRACTIONALLY INTEGRATED TIME-SERIES MODELS
BEVERIDGE, S
OICKLE, C
ECONOMICS LETTERS, 1993, 43 (02) : 137 - 142
[8] On the robustness of cointegration tests when series are fractionally integrated
Gonzalo, J
Lee, TH
JOURNAL OF APPLIED STATISTICS, 2000, 27 (07) : 821 - 827
[9] Econometric model of investment as part of Croatian GDP
Galetic, Fran
Pleli, Nada
SOR'07: PROCEEDINGS OF THE 9TH INTERNATIONAL SYMPOSIUM ON OPERATIONAL RESEARCH IN SLOVENIA, 2007, : 443 - 447
[10] Asymptotics for Nonlinear Transformations of Fractionally Integrated Time Series
李松臣
张世英
Transactions of Tianjin University, 2007, (05) : 387 - 390

← 1 2 3 4 5 →