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Forecasting the real output using fractionally integrated techniques

Humboldt-Universität Berlin
Publication Date
  • C22
  • Ddc:330
  • Long Memory
  • Fractional Integration
  • Nonstationarity


The annual structure of the real GDP in the UK, France, Germany and Italy is examined in this article by means of fractionally integrated techniques. Using a version of a testing procedure due to Robinson (1994), we show that the series can be specified in terms of I(d) statistical models with d higher than 1. Thus, the series are nonstationary and non-mean-reverting. The forecasting properties of the selected models for each country are also examined at the end of the article.

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