A seasonal fractional multivariate model. A testing procedure and impulse responses for the analysis of GDP and unemployment dynamics |
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Authors: | Luis A Gil-Alana |
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Institution: | (1) Centre for Empirical Finance, Brunel University, Uxbridge, Middlesex, UB8 3PH, UK;(2) University of Navarra, Pamplona, Spain |
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Abstract: | This paper deals with the analysis of seasonally, fractionally integrated, multivariate models. We present a procedure that
permits us to test the seasonal fractional differencing parameters from the reduced-form system, which allows us to recover
the parameters of the structural model through simple restrictions as in the standard VAR case with the additional incorporation
of seasonality and fractional integration. An empirical application based on a bivariate system using GDP and unemployment
in the UK, USA and Japan is also carried out at the end of the paper. |
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Keywords: | |
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