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Pregled bibliografske jedinice broj: 659527

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


Škare, Marinko; Stjepanović, Saša
A FRACTIONALLY INTEGRATED MODEL FOR THE CROATIAN AGGREGATE OUTPUT (GDP) SERIES // Ekonomska istraživanja, 26 (2013), 2; 1-34 (međunarodna recenzija, članak, znanstveni)


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

Autori
Škare, Marinko ; Stjepanović, Saša

Izvornik
Ekonomska istraživanja (1331-677X) 26 (2013), 2; 1-34

Vrsta, podvrsta i kategorija rada
Radovi u časopisima, članak, znanstveni

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

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).

Izvorni jezik
Engleski

Znanstvena područja
Ekonomija



POVEZANOST RADA


Projekt / tema
303-3032453-2454 - Institucionalni aspekti i razvoj u procesu pridruživanja Hrvatske EU (Marinko Škare, )

Ustanove
Sveučilište Jurja Dobrile u Puli

Časopis indeksira:


  • Web of Science Core Collection (WoSCC)
    • Social Science Citation Index (SSCI)
    • SCI-EXP, SSCI i/ili A&HCI
  • Scopus


Uključenost u ostale bibliografske baze podataka:


  • ABI/INFORM