A fractional multivariate long memory model for the US and the Canadian real output

Economics Letters

Volumn 81, Issue 3, 2003, Pages 355-359

  Gil Alana, L A ^a  

^a UNIVERSITY OF NAVARRA   (Spain)

Author keywords

Fractional integration; Long memory; Multivariate tests

Indexed keywords

EID: 0242308120     PISSN: 01651765     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0165-1765(03)00217-9     Document Type: Article

References (5)

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2. Diebold F.X. Rudebusch G.D. Long memory and persistence in aggregate output Journal of Monetary Economics 24 1989 189-209
3. Gil-Alana L.A. 2003 Multivariate tests of nonstationary hypothesis. Forthcoming in South African Statistical Journal
4. Gil-Alana L.A. Robinson P.M. Testing of unit roots and other nonstationary hypotheses in macroeconomic time series Journal of Econometrics 80 1997 241-268
5. Robinson P.M. Efficient tests of nonstationary hypotheses Journal of the American Statistical Association 89 1994 1420-1437