Forecasting the real output using fractionally integrated techniques

Luis Gil-Alana

No 2001,27, SFB 373 Discussion Papers from Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes

Abstract: The annual structure of the real GDP in the UK, France, Germany and Italy is examined in this article by means of fractionally integrated techniques. Using a version of a testing procedure due to Robinson (1994), we show 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 at the end of the article.

Keywords: Long memory; Fractional integration; Nonstationarity (search for similar items in EconPapers)
JEL-codes: C22 (search for similar items in EconPapers)
Date: 2001
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