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

Marinko Škare
Saša Stjepanović

Puni tekst: engleski, pdf (3 MB) str. 1-34 preuzimanja: 644* citiraj
APA 6th Edition
Škare, M. i Stjepanović, S. (2013). A FRACTIONALLY INTEGRATED MODEL FOR THE CROATIAN AGGREGATE OUTPUT (GDP) SERIES. Economic research - Ekonomska istraživanja, 26 (2), 1-34. Preuzeto s https://hrcak.srce.hr/104023
MLA 8th Edition
Škare, Marinko i Saša Stjepanović. "A FRACTIONALLY INTEGRATED MODEL FOR THE CROATIAN AGGREGATE OUTPUT (GDP) SERIES." Economic research - Ekonomska istraživanja, vol. 26, br. 2, 2013, str. 1-34. https://hrcak.srce.hr/104023. Citirano 21.11.2019.
Chicago 17th Edition
Škare, Marinko i Saša Stjepanović. "A FRACTIONALLY INTEGRATED MODEL FOR THE CROATIAN AGGREGATE OUTPUT (GDP) SERIES." Economic research - Ekonomska istraživanja 26, br. 2 (2013): 1-34. https://hrcak.srce.hr/104023
Harvard
Škare, M., i Stjepanović, S. (2013). 'A FRACTIONALLY INTEGRATED MODEL FOR THE CROATIAN AGGREGATE OUTPUT (GDP) SERIES', Economic research - Ekonomska istraživanja, 26(2), str. 1-34. Preuzeto s: https://hrcak.srce.hr/104023 (Datum pristupa: 21.11.2019.)
Vancouver
Škare M, Stjepanović S. A FRACTIONALLY INTEGRATED MODEL FOR THE CROATIAN AGGREGATE OUTPUT (GDP) SERIES. Economic research - Ekonomska istraživanja [Internet]. 2013 [pristupljeno 21.11.2019.];26(2):1-34. Dostupno na: https://hrcak.srce.hr/104023
IEEE
M. Škare i S. Stjepanović, "A FRACTIONALLY INTEGRATED MODEL FOR THE CROATIAN AGGREGATE OUTPUT (GDP) SERIES", Economic research - Ekonomska istraživanja, vol.26, br. 2, str. 1-34, 2013. [Online]. Dostupno na: https://hrcak.srce.hr/104023. [Citirano: 21.11.2019.]

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

[hrvatski]

Posjeta: 1.013 *