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Forecasting the real output using fractionally integrated techniques

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The annual structure of the real GDP in the UK, France, Germany and Italy is examined by means of fractionally integrated techniques. Using a version of a testing procedure due to Robinson (Journal of the American Statistical Association, 84, 1420-37, 1994), it is shown that the series can be specified in terms of I(d ) statistical models with d higher than 1. Thus, the series are nonstationary and non-mean-reverting. The forecasting properties of the selected models for each country are also examined.

Document Type: Research Article


Publication date: 2004-08-01

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