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
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

Actions (login required)

View Item