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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.
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