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A FRACTIONALLY INTEGRATED MODEL FOR THE CROATIAN AGGREGATE OUTPUT (GDP) SERIES

Marinko Škare
Saša Stjepanović

Sažetak

The general characteristics of output fluctuations in Croatia are examined under fractional integration framework. This paper evaluate the existence of long memory in real output decomposing fluctuations to transitory and permanent components. The results suggest that Croatian real output series behavior is best identified as ARFIMA model with order of integration 0.5 < d <1.5. This suggests that macroeconomic shocks in real output are highly persistent. Unlike other studies in Croatia that find real output to be I(0) or I(1) variable, test results from this study indicate that real output show the characteristics of long memory with mean reversion (fractional integration).

Ključne riječi

Fractional integration; ARFIMA; Impulse response; Real GDP Croatia; Long memory

Hrčak ID:

104023

URI

https://hrcak.srce.hr/104023

Datum izdavanja:

1.6.2013.

Podaci na drugim jezicima: hrvatski

Posjeta: 2.340 *