Pregled bibliografske jedinice broj: 659527
A FRACTIONALLY INTEGRATED MODEL FOR THE CROATIAN AGGREGATE OUTPUT (GDP) SERIES
A FRACTIONALLY INTEGRATED MODEL FOR THE CROATIAN AGGREGATE OUTPUT (GDP) SERIES // Ekonomska istraživanja, 26 (2013), 2; 1-34 (međunarodna recenzija, članak, znanstveni)
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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
Projekti:
303-3032453-2454 - Institucionalni aspekti i razvoj u procesu pridruživanja Hrvatske EU (Škare, Marinko, MZOS ) ( CroRIS)
Ustanove:
Sveučilište Jurja Dobrile u Puli
Citiraj ovu publikaciju:
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
