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This paper deals
with a multivariate long memory model for the specification of real
output in the US, the UK, and Canada. We examine the orders of
integration of the three time series first individually and then
allow cross dependence between observations. Performing univariate
analysis, results show that the three series have orders of
integration higher than 1, especially Canada. The multivariate model
supports this view, finding conclusive evidence of non-stationarity
for the three series and higher orders of integration for Canada
than for the UK or the US. With respect to the cross-dependence
structure, it seems that the US and Canada, and the US with the UK
present the highest degrees of correlation across countries. |