A fractional multivariate long memory model for the US and the Canadian real output
This paper uses an extension of the univariate tests of Robinson [J. Am. Stat. Assoc. 89 (1994) 1420] to the multivariate case. We examine the degrees of integration of the real output in the US and Canada throughout a bivariate system. The results show that if the disturbances are white noise, the...
Saved in:
| Published in: | Economics letters Vol. 81; no. 3; pp. 355 - 359 |
|---|---|
| Main Author: | |
| Format: | Journal Article |
| Language: | English |
| Published: |
Elsevier B.V
01-12-2003
Elsevier |
| Series: | Economics Letters |
| Subjects: | |
| Online Access: | Get full text |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| Abstract | This paper uses an extension of the univariate tests of Robinson [J. Am. Stat. Assoc. 89 (1994) 1420] to the multivariate case. We examine the degrees of integration of the real output in the US and Canada throughout a bivariate system. The results show that if the disturbances are white noise, the null hypothesis of two unit roots is rejected in favour of higher orders of integration. However, if a VAR(1) structure is assumed, the unit root null cannot be rejected. Thus, both series are clearly nonstationary in spite of the cross-correlation permitted across countries. |
|---|---|
| AbstractList | This paper uses an extension of the univariate tests of Robinson [J. Am. Stat. Assoc. 89 (1994) 1420] to the multivariate case. We examine the degrees of integration of the real output in the US and Canada throughout a bivariate system. The results show that if the disturbances are white noise, the null hypothesis of two unit roots is rejected in favour of higher orders of integration. However, if a VAR(1) structure is assumed, the unit root null cannot be rejected. Thus, both series are clearly nonstationary in spite of the cross-correlation permitted across countries. |
| Author | Gil-Alana, L.A. |
| Author_xml | – sequence: 1 givenname: L.A. surname: Gil-Alana fullname: Gil-Alana, L.A. email: alana@unav.es organization: Faculty of Economics, Campus Universitario, University of Navarre, Edificio Biblioteca, Entrada Este, E-31080 Pamplona, Spain |
| BackLink | http://econpapers.repec.org/article/eeeecolet/v_3a81_3ay_3a2003_3ai_3a3_3ap_3a355-359.htm$$DView record in RePEc |
| BookMark | eNqFkEFrGzEQhUVJoY7Tn1DQqbSHTaWVtbJOJZgmTQnk4OYsJtpRo7IrbSWtwf--Wrvk2oGZN4d5T-K7JBchBiTkA2fXnPHuy74O2XDVyU9MfGas5arRb8iKb5VolFCbC7J6PXlHLnP-zRhvtZIrsr-hLoEtPgYY6DgPxR8geShIhxh-0RHHmI50jD0O1MVEywvSpz2F0J_WHQToPQSasPrjXKa5XJG3DoaM7__pmjzdfvu5-948PN7d724eGiu5Lg3vUNnWOSe1bpnrLLRaI4IVHRMWnAK2UfKZSyY3ouuA21bZZ9Ftdb_hTguxJh_PuVOKf2bMxYw-WxwGCBjnbITaMraErYk8H9oUc07ozJT8COloODMLQnNCaBY-hglzQmh09f04-xJOaF9NWMvGAYs5GAFbXsexdlsfq-JrLzotKqURUpuXMtawr-cwrEgOHpPJ1mOw2PuEtpg--v985y9KHZL8 |
| CitedBy_id | crossref_primary_10_1007_s00181_009_0276_8 crossref_primary_10_1016_j_enpol_2011_05_015 crossref_primary_10_2139_ssrn_874405 crossref_primary_10_1016_j_enpol_2009_04_017 crossref_primary_10_1080_00949650802087011 crossref_primary_10_25046_aj060514 crossref_primary_10_1007_s10915_022_01779_x crossref_primary_10_1080_00036840701858083 crossref_primary_10_1111_j_1744_7976_2012_01253_x crossref_primary_10_1080_02664760903254060 crossref_primary_10_1109_TSP_2011_2162835 crossref_primary_10_1137_20M1374286 crossref_primary_10_1016_S1514_0326_09_60014_3 crossref_primary_10_1017_S1365100509080249 |
| Cites_doi | 10.2307/2291004 10.1016/0304-3932(89)90003-2 10.1016/S0304-4076(97)00038-9 10.1016/0304-4076(95)01732-1 |
| ContentType | Journal Article |
| Copyright | 2003 Elsevier B.V. |
| Copyright_xml | – notice: 2003 Elsevier B.V. |
| DBID | DKI X2L AAYXX CITATION 8BJ FQK JBE |
| DOI | 10.1016/S0165-1765(03)00217-9 |
| DatabaseName | RePEc IDEAS RePEc CrossRef International Bibliography of the Social Sciences (IBSS) International Bibliography of the Social Sciences International Bibliography of the Social Sciences |
| DatabaseTitle | CrossRef International Bibliography of the Social Sciences (IBSS) |
| DatabaseTitleList | |
| DeliveryMethod | fulltext_linktorsrc |
| Discipline | Economics |
| EISSN | 1873-7374 |
| EndPage | 359 |
| ExternalDocumentID | 10_1016_S0165_1765_03_00217_9 eeeecolet_v_3a81_3ay_3a2003_3ai_3a3_3ap_3a355_359_htm S0165176503002179 |
| GroupedDBID | --K --M --Z -~X .L6 .~1 0R~ 1B1 1OL 1RT 1~. 1~5 29G 3R3 4.4 457 4G. 5GY 5VS 63O 6TJ 7-5 71M 8P~ 9JO AABNK AACTN AAEDT AAEDW AAFFL AAIAV AAIKJ AAKOC AALRI AAOAW AAPFB AAQFI AAQXK AAXUO ABFNM ABFRF ABJNI ABLJU ABMAC ABXDB ABYKQ ACDAQ ACGFO ACGFS ACHQT ACNCT ACRLP ACROA ADBBV ADEZE ADFHU ADIYS ADMUD AEBSH AEFWE AEKER AETEA AEYQN AFFNX AFKWA AFODL AFTJW AGHFR AGTHC AGUBO AGYEJ AHHHB AI. AIEXJ AIIAU AIKHN AITUG AJBFU AJOXV AJWLA ALMA_UNASSIGNED_HOLDINGS AMFUW AMRAJ ASPBG AVWKF AXJTR AXLSJ AZFZN BEHZQ BEZPJ BGSCR BKOJK BLXMC BNTGB BPUDD BULVW BZJEE CS3 DU5 EBS EFJIC EFLBG EJD EO8 EO9 EP2 EP3 F5P FDB FEDTE FGOYB FIRID FNPLU FYGXN G-2 G-Q GBLVA HMB HVGLF HZ~ IHE IXIXF J1W KOM LPU LY5 M41 MO0 MS~ MVM N9A O-L O9- OAUVE OZT P-8 P-9 P2P PC. PQQKQ PVJ Q38 R2- RIG ROL RPZ SDF SDG SDP SEB SEE SES SEW SPCBC SSB SSF SSZ T5K TN5 TWZ ULY UQL VH1 WH7 WUQ XPP YK3 ZMT ~G- 08R 0R 1 8P ABFLS ADALY DKI G- HZ IPNFZ K L6 M MS PQEST STF X X2L Z AAHBH AAXKI AAYXX ADMHG AFJKZ AKRWK CITATION 8BJ FQK JBE |
| ID | FETCH-LOGICAL-c519t-16e7c2fff59920f6ca299eeac3603caf7a0475b15054366a1c27cb3689d41f933 |
| ISSN | 0165-1765 |
| IngestDate | Fri Oct 25 22:31:06 EDT 2024 Thu Nov 21 22:54:34 EST 2024 Wed Aug 18 04:25:53 EDT 2021 Fri Feb 23 02:30:33 EST 2024 |
| IsPeerReviewed | true |
| IsScholarly | true |
| Issue | 3 |
| Keywords | Fractional integration C22 Multivariate tests Long memory |
| Language | English |
| LinkModel | OpenURL |
| MergedId | FETCHMERGED-LOGICAL-c519t-16e7c2fff59920f6ca299eeac3603caf7a0475b15054366a1c27cb3689d41f933 |
| Notes | ObjectType-Article-2 SourceType-Scholarly Journals-1 ObjectType-Feature-1 content type line 23 |
| PQID | 37800360 |
| PQPubID | 23473 |
| PageCount | 5 |
| ParticipantIDs | proquest_miscellaneous_37800360 crossref_primary_10_1016_S0165_1765_03_00217_9 repec_primary_eeeecolet_v_3a81_3ay_3a2003_3ai_3a3_3ap_3a355_359_htm elsevier_sciencedirect_doi_10_1016_S0165_1765_03_00217_9 |
| PublicationCentury | 2000 |
| PublicationDate | 2003-12-01 |
| PublicationDateYYYYMMDD | 2003-12-01 |
| PublicationDate_xml | – month: 12 year: 2003 text: 2003-12-01 day: 01 |
| PublicationDecade | 2000 |
| PublicationSeriesTitle | Economics Letters |
| PublicationTitle | Economics letters |
| PublicationYear | 2003 |
| Publisher | Elsevier B.V Elsevier |
| Publisher_xml | – name: Elsevier B.V – name: Elsevier |
| References | Gil-Alana, L.A., 2003. Multivariate tests of nonstationary hypothesis. Forthcoming in South African Statistical Journal. Diebold, Rudebusch (BIB2) 1989; 24 Robinson (BIB5) 1994; 89 Gil-Alana, Robinson (BIB4) 1997; 80 Baillie (BIB1) 1996; 73 Robinson (10.1016/S0165-1765(03)00217-9_BIB5) 1994; 89 Diebold (10.1016/S0165-1765(03)00217-9_BIB2) 1989; 24 10.1016/S0165-1765(03)00217-9_BIB3 Baillie (10.1016/S0165-1765(03)00217-9_BIB1) 1996; 73 Gil-Alana (10.1016/S0165-1765(03)00217-9_BIB4) 1997; 80 |
| References_xml | – volume: 24 start-page: 189 year: 1989 end-page: 209 ident: BIB2 article-title: Long memory and persistence in aggregate output publication-title: Journal of Monetary Economics contributor: fullname: Rudebusch – volume: 80 start-page: 241 year: 1997 end-page: 268 ident: BIB4 article-title: Testing of unit roots and other nonstationary hypotheses in macroeconomic time series publication-title: Journal of Econometrics contributor: fullname: Robinson – volume: 89 start-page: 1420 year: 1994 end-page: 1437 ident: BIB5 article-title: Efficient tests of nonstationary hypotheses publication-title: Journal of the American Statistical Association contributor: fullname: Robinson – volume: 73 start-page: 5 year: 1996 end-page: 59 ident: BIB1 article-title: Long memory processes and fractional integration in econometrics publication-title: Journal of Econometrics contributor: fullname: Baillie – volume: 89 start-page: 1420 year: 1994 ident: 10.1016/S0165-1765(03)00217-9_BIB5 article-title: Efficient tests of nonstationary hypotheses publication-title: Journal of the American Statistical Association doi: 10.2307/2291004 contributor: fullname: Robinson – ident: 10.1016/S0165-1765(03)00217-9_BIB3 – volume: 24 start-page: 189 year: 1989 ident: 10.1016/S0165-1765(03)00217-9_BIB2 article-title: Long memory and persistence in aggregate output publication-title: Journal of Monetary Economics doi: 10.1016/0304-3932(89)90003-2 contributor: fullname: Diebold – volume: 80 start-page: 241 year: 1997 ident: 10.1016/S0165-1765(03)00217-9_BIB4 article-title: Testing of unit roots and other nonstationary hypotheses in macroeconomic time series publication-title: Journal of Econometrics doi: 10.1016/S0304-4076(97)00038-9 contributor: fullname: Gil-Alana – volume: 73 start-page: 5 year: 1996 ident: 10.1016/S0165-1765(03)00217-9_BIB1 article-title: Long memory processes and fractional integration in econometrics publication-title: Journal of Econometrics doi: 10.1016/0304-4076(95)01732-1 contributor: fullname: Baillie |
| SSID | ssj0012975 |
| Score | 1.7956262 |
| Snippet | This paper uses an extension of the univariate tests of Robinson [J. Am. Stat. Assoc. 89 (1994) 1420] to the multivariate case. We examine the degrees of... |
| SourceID | proquest crossref repec elsevier |
| SourceType | Aggregation Database Index Database Publisher |
| StartPage | 355 |
| SubjectTerms | Canada Correlation Economic integration Economic models Economics Fractional integration Long memory Memory Model testing Multivariate tests Productivity U.S.A |
| Title | A fractional multivariate long memory model for the US and the Canadian real output |
| URI | https://dx.doi.org/10.1016/S0165-1765(03)00217-9 http://econpapers.repec.org/article/eeeecolet/v_3a81_3ay_3a2003_3ai_3a3_3ap_3a355-359.htm https://search.proquest.com/docview/37800360 |
| Volume | 81 |
| hasFullText | 1 |
| inHoldings | 1 |
| isFullTextHit | |
| isPrint | |
| link | http://sdu.summon.serialssolutions.com/2.0.0/link/0/eLvHCXMwtV1ba9swFBZp87C9jF1Z1l30sMJGcGb7WLL9aLps3Rh7cQN9E7It0UKahCQu9N_vyLJld2XsAjNYMkK2jM6noyPpXAh5GypeyZSnnuIq8iKQyks4gKdV6UNRaSmbaA2nefz9PPk4j-ajUaf_1Jf9V0pjGdLaWM7-BbXdR7EAn5HmmCLVMf0jumdTvbXGCsYuxKgLXuNyGCXK6dKEFboymrU3NgCOUzFc5E6R0nkr2BqPw-t6v6lv7963hsy76bIxBHIi-efLpZctpTUx-zbLZrf2E-An3Yy7hi5235Ez40vSHkAryyuTGLwYbJCdjpna-CstaGDAGYGxwSQL1g34Hf5ttxJy19yxCZ51HKbN0slL-0nLqRI2dU1V5FamUnpAxiEyHeR54-zL_PyrO1MyNsTW07v9dm_P9aFv8J0P79vGfiWpDFYi463aqHIgkJw9JA_alQTNLAQekZFaPSb3HH2ekDyjPRToEArUQIFaKNAGChShQJH-dJFThELz2EGBGihQC4WnZPFpfnZy6rUxNLwSZfO9F3AVl6HWmqVp6GteSpQ_FM62wH0opY6lH8WswGUBi4BzGZRhXBbAk7SKAo3d-IwcrtYr9ZxQqVjAS44iJJQR1iwgKCosZDqCyi_4hMy6_hIb6ypFDHQIOROmg4UPoulgkU5I0vWqaOU9K8cJhMPvXn3TUUEgPzSHXHKl1vVOQJwYH0v-hJw0xHG_ovBC3qpwUAuQSYDJDd5mCGB2ibfJNyZnTCBAxcX-6sW__-IRud8Pr5fkcL-t1StysKvq1y0yfwAqJJMa |
| link.rule.ids | 315,782,786,27933,27934 |
| linkProvider | Elsevier |
| openUrl | ctx_ver=Z39.88-2004&ctx_enc=info%3Aofi%2Fenc%3AUTF-8&rfr_id=info%3Asid%2Fsummon.serialssolutions.com&rft_val_fmt=info%3Aofi%2Ffmt%3Akev%3Amtx%3Ajournal&rft.genre=article&rft.atitle=A+fractional+multivariate+long+memory+model+for+the+US+and+the+Canadian+real+output&rft.jtitle=Economics+letters&rft.au=Gil-Alana%2C+L.A.&rft.date=2003-12-01&rft.pub=Elsevier+B.V&rft.issn=0165-1765&rft.eissn=1873-7374&rft.volume=81&rft.issue=3&rft.spage=355&rft.epage=359&rft_id=info:doi/10.1016%2FS0165-1765%2803%2900217-9&rft.externalDocID=S0165176503002179 |
| thumbnail_l | http://covers-cdn.summon.serialssolutions.com/index.aspx?isbn=/lc.gif&issn=0165-1765&client=summon |
| thumbnail_m | http://covers-cdn.summon.serialssolutions.com/index.aspx?isbn=/mc.gif&issn=0165-1765&client=summon |
| thumbnail_s | http://covers-cdn.summon.serialssolutions.com/index.aspx?isbn=/sc.gif&issn=0165-1765&client=summon |