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Luis A. Gil-Alana
 
''Testing of I(d) processes in the real output''
( 2004, Vol. 3 No.32 )
 
 
The real GDP series of sixteen European countries along with Japan, Canada and the US are examined in this paper by means of fractional integration techniques. The results crucially depend on how we specify the I(0) disturbances, as white noise or autoregressions. Thus, in the former case the orders of integration are higher than 1 in all cases, while using autoregressions the values are all strictly smaller than 1 implying mean reverting behaviour.
 
 
Keywords:
JEL: C2 - Single Equation Models; Single Variables: General
C5 - Econometric Modeling: General
 
Manuscript Received : Jul 06 2004 Manuscript Accepted : Sep 16 2004

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