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• W2090744904 abstract "We show in this article that fractionally integrated univariate models for GDP lead to a better replication of the main business cycle characteristics. We firstly show that the business cycle features are clearly affected by the degree of integration as well as by the other short run (AR, MA, etc.) components of the series. Then, we model the real GDP in the UK and the US by means of fractionally ARIMA (ARFIMA) model, and show that the time series can be specified in terms of this type of model with orders of integration higher than one but smaller than two. Comparing the ARFIMA specifications with those based on ARIMA models, we show via simulations that the former better describe the business cycles features of the data." @default.
• W2090744904 created "2016-06-24" @default.
• W2090744904 creator A5056796755 @default.
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• W2090744904 date "2004-05-01" @default.
• W2090744904 modified "2023-10-18" @default.
• W2090744904 title "Fractional integration and business cycle features" @default.
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• W2090744904 doi "https://doi.org/10.1007/s00181-003-0171-7" @default.
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