Long memory in the Spanish GDP using fractional integration with Bloomfield disturbances

Abstract

The persistence of output in the Spanish economy is examined by means of looking at its order of integration. The procedure used is due to Robinson (Journal of the American Statistical Association, 89 1420-1437, 1994) that permits us to test I(d) statistical models. However, instead of assuming a fully parametric model, the case where the underlying I(0) disturbances follow the Bloomfield's (Biometrika, 60, 27-226, 1973) model is considered. In doing so, the potential loss of power of the tests is eliminated in the case of autoregressive disturbances. Also, this method permits determination of the degree of dependence of the series even in the presence of weakly autocorrelated disturbances.