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A fractionally integrated model for the Spanish real GDP

Author

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  • Luis Alberiko Gil-Alana

    (Universidad de Navarra, Faculty of Economics)

Abstract

The annual structure of the Spanish real GDP is investigated in this article by means of fractional integration techniques. The results show that the series can be specified in terms of an I(d) process with d smaller than one and thus showing long memory and mean-reverting behaviour.

Suggested Citation

  • Luis Alberiko Gil-Alana, 2004. "A fractionally integrated model for the Spanish real GDP," Economics Bulletin, AccessEcon, vol. 3(8), pages 1-6.
    • Handle: RePEc:ebl:ecbull:eb-03c20017
    as

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    References listed on IDEAS

    as
    1. Gil-Alana, Luis A, 2001. "A Fractionally Integrated Exponential Model for UK Unemployment," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 20(5), pages 329-340, August.
    2. Baillie, Richard T & Bollerslev, Tim, 1994. "Cointegration, Fractional Cointegration, and Exchange Rate Dynamics," Journal of Finance, American Finance Association, vol. 49(2), pages 737-745, June.
    3. Luis Gil-Alana, 2003. "Long memory in the Spanish GDP using fractional integration with Bloomfield disturbances," Applied Economics Letters, Taylor & Francis Journals, vol. 10(1), pages 33-37.
    4. Sowell, Fallaw, 1992. "Maximum likelihood estimation of stationary univariate fractionally integrated time series models," Journal of Econometrics, Elsevier, vol. 53(1-3), pages 165-188.
    5. Gil-Alana, Luis A., 2000. "Mean reversion in the real exchange rates," Economics Letters, Elsevier, vol. 69(3), pages 285-288, December.
    6. Godfrey, Leslie G, 1978. "Testing for Higher Order Serial Correlation in Regression Equations When the Regressors Include Lagged Dependent Variables," Econometrica, Econometric Society, vol. 46(6), pages 1303-1310, November.
    7. Durbin, J, 1970. "Testing for Serial Correlation in Least-Squares Regression When Some of the Regressors are Lagged Dependent Variables," Econometrica, Econometric Society, vol. 38(3), pages 410-421, May.
    8. Diebold, Francis X. & Rudebusch, Glenn D., 1989. "Long memory and persistence in aggregate output," Journal of Monetary Economics, Elsevier, vol. 24(2), pages 189-209, September.
    9. Koenker, Roger, 1981. "A note on studentizing a test for heteroscedasticity," Journal of Econometrics, Elsevier, vol. 17(1), pages 107-112, September.
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    Cited by:

    1. Guglielmo Maria Caporale & Marinko Skare, 2014. "Long Memory in UK Real GDP, 1851-2013: An ARFIMA-FIGARCH Analysis," Discussion Papers of DIW Berlin 1395, DIW Berlin, German Institute for Economic Research.

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    More about this item

    Keywords

    fractional integration;

    JEL classification:

    • C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling

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