Chambers, MJ (1996) 'Fractional integration, trend stationarity and difference stationarity: Evidence from some U.K. macroeconomic time series.' Economics Letters, 50 (1). 19 - 24. ISSN 0165-1765

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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
Subjects:	H Social Sciences > HB Economic Theory
Divisions:	Faculty of Social Sciences > Economics, Department of
Depositing User:	Jim Jamieson
Date Deposited:	08 Jul 2012 16:36
Last Modified:	05 Feb 2019 18:15
URI:	http://repository.essex.ac.uk/id/eprint/2751

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