Title of article
Fractional integration, trend stationarity and difference stationarity Evidence from some U.K. macroeconomic time series
Author/Authors
Fractional integration، نويسنده , , trend stationarity and difference stationarity Evidence from some U.K. macroeconomic time series ، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 1996
Pages
6
From page
19
To page
24
Abstract
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.
Keywords
frequency domain , Difference stationarity , trend stationarity , Fractional ARIMA model
Journal title
Economics Letters
Serial Year
1996
Journal title
Economics Letters
Record number
434027
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