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).
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页码：1 / 33
页数：33
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