FRACTIONAL-INTEGRATION ANALYSIS OF LONG-RUN BEHAVIOR FOR US MACROECONOMIC TIME-SERIES

被引：27

作者：

CRATO, N

ROTHMAN, P

机构：

[1] E CAROLINA UNIV,DEPT ECON,BREWSTER BLDG,GREENVILLE,NC 27858

[2] STEVENS INST TECHNOL,DEPT MATH,HOBOKEN,NJ 07030

来源：

ECONOMICS LETTERS | 1994年 / 45卷 / 03期

关键词：

D O I：

10.1016/0165-1765(94)90025-6

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We apply a new ARFIMA approach to distinguish between the trend and difference stationary models of long-run dynamics for a well-known representative macroeconomic dataset. Our results strengthen the case for the difference stationary model for these series.

引用

收藏

页码：287 / 291

页数：5

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