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Fractional integration and business cycle features.
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- Author(s): Candelon, Bertrand; Gil-Alana, Luis A.
- Source:
Empirical Economics; 2004, Vol. 29 Issue 2, p343-359, 17p, 8 Charts, 2 Graphs- Subject Terms:
- Source:
- Additional Information
- Subject Terms:
- Abstract: We show in this article that fractionally integrated univariate models for GDP lead to a better replication of the main business cycle characteristics. We firstly show that the business cycle features are clearly affected by the degree of integration as well as by the other short run (AR, MA, etc.) components of the series. Then, we model the real GDP in the UK and the US by means of fractionally ARIMA (ARFIMA) model, and show that the time series can be specified in terms of this type of model with orders of integration higher than one but smaller than two. Comparing the ARFIMA specifications with those based on ARIMA models, we show via simulations that the former better describe the business cycles features of the data. [ABSTRACT FROM AUTHOR]
- Abstract: Copyright of Empirical Economics is the property of Springer Nature and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)
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