Chambers, Marcus J (1996) 'Fractional integration, trend stationarity and difference stationarity Evidence from some U.K. macroeconomic time series.' Economics Letters, 50 (1). pp. 19-24. ISSN 0165-1765
Full text not available from this repository.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.
Item Type: | Article |
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Uncontrolled Keywords: | fractional ARIMA model; frequency domain; trend stationarity; difference stationarity |
Subjects: | H Social Sciences > HB Economic Theory |
Divisions: | Faculty of Social Sciences Faculty of Social Sciences > Economics, Department of |
SWORD Depositor: | Elements |
Depositing User: | Elements |
Date Deposited: | 08 Jul 2012 16:36 |
Last Modified: | 15 Jan 2022 00:22 |
URI: | http://repository.essex.ac.uk/id/eprint/2751 |
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