Fractional integration, trend stationarity and difference stationarity evidence from some U.K. macroeconomic time series

被引：3

作者：

Chambers, MJ

机构：

[1] Department of Economics, University of Essex, Colchester CO4 3SQ, Wivenhoe Park

来源：

ECONOMICS LETTERS | 1996年 / 50卷 / 01期

关键词：

fractional ARIMA model; frequency domain; trend stationarity; difference stationarity;

D O I：

10.1016/0165-1765(95)00721-0

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

Fractionally integrated autoregressive moving average models are used to test trend stationarity and difference stationarity in the logarithms of five U.K. macroeconomic time series. Three series are found to be difference stationarity, while the remaining two are best described by a nonstationary fractional model.

引用

页码：19 / 24

页数：6

共 10 条

[1]

Andrews D. W. K., 1992, J BUSINESS EC STAT, V10, P251

[2]

BERAN J, 1992, J ROY STAT SOC B MET, V54, P749

[3] EFFICIENT PARAMETER-ESTIMATION FOR SELF-SIMILAR PROCESSES [J].