Fractional integration and impulse responses: a bivariate application to real output in the USA and four Scandinavian countries

DOI10.1080/02664760903254060OpenAlexW2107937877MaRDI QIDQ5124734

Guglielmo Maria Caporale, Luis A. Gil-Alana

Publication date: 30 September 2020

Published in: Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02664760903254060

zbMATH Keywords

long memorymultivariate time seriesimpulse response functions

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (1)

Long- versus medium-run identification in fractionally integrated VAR models

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