73
Views
4
CrossRef citations to date
0
Altmetric
Original Articles

Fractional integration in total factor productivity: evidence from US data

Pages 1369-1383 | Published online: 16 Aug 2006

References

References

  • Abramovitz , M . 1956 . Resources and output trends in the US since 1870 . American Economic Review , 46 : 5 – 23 .
  • Atella , V and Quintieri , B . 2001 . Do R&D expenditures really matter for TFP? . Applied Economics , 33 : 1385 – 89 .
  • Baillie , RT . 1996 . Long memory processes and fractional integration in econometrics . Journal of Econometrics , 73 : 5 – 59 .
  • Baillie , RT and Bollerslev , T . 1994 . Cointegration, fractional cointegration, and exchange-rate dynamics . Journal of Finance , 49 : 737 – 45 .
  • Berg , L and Lyhagen , J . 1998 . Short and long run dependence in Swedish stock returns . Applied Financial Economics , 8 : 435 – 43 .
  • Bernstein , J and Yan , X . 1996 . Canadian–Japanese R&D spillovers and productivity growth . Applied Economics Letters , 3 : 763 – 7 .
  • Bureau of Economic Analysis 2004 Survey of Current Business Washington DC
  • Bloomfield , P . 1973 . An exponential model in the spectrum of a scalar time series . Biometrika , 60 : 217 – 26 .
  • Chambers , M . 1998 . Long memory and aggregation in macroeconomic time series . International Economic Review , 39 : 1053 – 72 .
  • Cioczek-Georges , R and Mandelbrot , BB . 1995 . A class of micropulses and anti-persistent fractional Brownian motion . Stochastic Processes and their Applications , 60 : 1 – 18 .
  • Coe , DT and Helpman , E . 1995 . International R&D spillovers . European Economic Review , 39 : 859 – 87 .
  • Costello , D . 1993 . A cross-country, cross-industry comparison of productivity growth . Journal of Political Economy , 101 : 207 – 22 .
  • Crato , N and Rothman , P . 1994 . Fractional integration analysis of long run behavior for US macroeconomic time series . Economics Letters , 45 : 287 – 91 .
  • Dickey , DA and Fuller , WA . 1979 . Distribution of the estimators for autoregressive time series with a unit root . Journal of the American Statistical Association , 74 : 427 – 31 .
  • Dickey , DA , Hasza , DP and Fuller , WA . 1984 . Testing for unit roots in seasonal time series . Journal of the American Statistical Association , 79 : 355 – 67 .
  • Diebold , F and Inoue , A . 2001 . Long memory and regime switching . Journal of Econometrics , 105 : 131 – 59 .
  • Diebold , FX and Rudebusch , GD . 1989 . Long memory and persistence in the aggregate output . Journal of Monetary Economics , 24 : 189 – 209 .
  • Diebold , FX and Rudebusch , GD . 1991 . On the power of Dickey-Fuller tests against fractional alternatives . Economics Letters , 35 : 155 – 60 .
  • Dueker MJ Assea PK 1998 Non-monotonic long memory dynamics in black market premia, Typescript, The Federal Reserve Bank of St Louis
  • Energy Information Administration 2004 US Primary Energy Sources Consumption by Industrial End Users Energy Information Administration Washington DC
  • Engelbrecht , H-J . 2002 . Human capital and international knowledge spillovers in TFP growth of a sample of developing countries: and exploration of alternative approaches . Applied Economics , 34 : 831 – 41 .
  • Frantzen , D . 1998 . R&D efforts, international technology spillovers and the evolution of productivity in industrial countries . Applied Economics , 30 : 1459 – 69 .
  • Gil-Alana , LA . 2000 . Mean reversion in the real exchange rates . Economics Letters , 16 : 285 – 8 .
  • Gil-Alana , LA . 2001 . Seasonal long memory in the US monthly monetary aggregate . Applied Economics Letters , 8 : 573 – 5 .
  • Gil-Alana , LA . 2002 . Seasonal long memory in the aggregate output . Economics Letters , 74 : 333 – 7 .
  • Gil-Alana , LA . 2003 . Long memory in the Spanish GDP using fractional integration with Bloomfield disturbances . Applied Economics Letters , 10 : 33 – 7 .
  • Gil-Alana , LA . 2004a . The dynamics of the real exchange rates in Europe: a comparative study across countries using fractional integration . Applied Economics Letters , 11 : 429 – 34 .
  • Gil-Alana , LA . 2004b . Seasonal fractional components in macroeconomic time series . Applied Economics , 37 ( 12 ) : 1265 – 79 .
  • Gil-Alana , LA and Robinson , PM . 1997 . Testing of unit roots and other nonstationary hypotheses in macroeconomic time series . Journal of Econometrics , 80 : 241 – 68 .
  • Gil-Alana , LA and Robinson , PM . 2001 . Testing seasonal fractional integration in UK and Japanese consumption and income . Journal of Applied Econometrics , 16 : 1 – 23 .
  • Gounder R Xayavong V 2004 A decomposition of Total Factor Productivity growth in New Zealand's manufacturing industries: a stochastic frontier approach, paper to be presented at the New Zealand Association of Economists Conference Wellington New Zealand
  • Granger , CWJ . 1980 . Long memory relationships and the aggregation of dynamic models . Journal of Econometrics , 14 : 227 – 38 .
  • Granger , CWJ . 1981 . Some properties of time series data and their use in econometric model specification . Journal of Econometrics , 16 : 121 – 30 .
  • Granger , CWJ and Ding , Z . 1996 . Varieties of long memory models . Journal of Econometrics , 73 : 61 – 77 .
  • Granger , CWJ and Joyeux , R . 1980 . An introduction to long memory time series and fractionally differencing . Journal of Time Series Analysis , 1 : 15 – 29 .
  • Hassler , U and Wolters , J . 1994 . On the power of unit root tests against fractional alternatives . Economics Letters , 45 : 1 – 5 .
  • Hosking , JRM . 1981 . Fractional differencing . Biometrika , 68 : 165 – 76 .
  • Hylleberg , S , Engle , RF , Granger , CWJ and Yoo , BS . 1990 . Seasonal integration and cointegration . Journal of Econometrics , 44 : 215 – 38 .
  • Kodde , DA , Palm , FC and Peann , GA . 1990 . Asymptotic least squares estimation, efficiency considerations and applications . Journal of Applied Econometrics , 5 : 229 – 43 .
  • Leduc S Sill K 2003 Monetary policy, oil shocks, and TFP: accounting for the decline in US volatility, Federal Reserve Bank of Philadelphia, Working Paper No. 03–22
  • Lichtenberg , F and van Pottelsberghe de la Potterie , B . 1998 . International R&D spillovers: a comment . European Economic Review , 42 : 1483 – 91 .
  • Lildholdt PM 2002 Sources of seasonal fractional integration in macroeconomic time series, Centre for Analytical Finance, University of Aarhus, Working Paper, No. 125
  • Lipsey , L and Carlaw , K . 2003 . Productivity, technology and economic growth. What is the relationship? . Journal of Economic Surveys , 17 : 457 – 93 .
  • Madden , G , Savage , S and Bloxham , P . 2001 . Asian and OECD international R&D spillovers . Applied Economics Letters , 8 : 431 – 5 .
  • Marinucci , D and Robinson , PM . 1999 . Alternative forms of fractional Brownian motions . Journal of Statistical Planning and Inference , 80 : 111 – 22 .
  • Montanari A Rosso R Taqqu MS 1995 A seasonal fractional differenced ARIMA model. An application to the River Nile monthly flows at Aswan, Preprint
  • Montanari , A , Rosso , R and Taqqu , MS . 1996 . Some long run properties of rainfall records in Italy . Journal of Geophysical Research Atmosphere , 101 : 431 – 8 .
  • Montanari , A , Rosso , R and Taqqu , MS . 1997 . Fractionally differenced ARIMA models applied to hydrologic time series. Identification, estimation and simulation . Water Resources Research , 331 : 1035 – 44 .
  • Montanari , A , Taqqu , MS and Teverovsky , V . 1999 . Estimating long range dependence in the presence of periodicity. An empirical study . Mathematical and Computational Modelling , 29 : 217 – 38 .
  • OECD 2004 Statistical Compendium Organization for Economic Cooperation and Development Paris
  • O’Mahony M Vecchi M 2003 In search of an impact on TFP: evidence from industry panel data, Royal Economic Society Annual Conference, No. 210, Royal Economic Society
  • Palm , FC and Pfann , GA . 1995 . Unraveling trend and stationary components of Total Factor Productivity . Annales d'Economie et de Statistique , 39 : 67 – 92 .
  • Parke , WR . 1999 . What is fractional integration? . The Review of Economics and Statistics , 81 : 632 – 8 .
  • Peeters , H , Palm , FC and Peann , GA . 1993 . Adjustment costs and time-to-build in facto demand in the US manufacturing industry . Empirical Economics , 18 : 639 – 71 .
  • Pfann , GA and Palm , FC . 1993 . Asymmetric adjustment costs in nonlinear labour demand models for the Netherlands and UK manufacturing sectors . Review of Economic Studies , 60 : 397 – 412 .
  • Phillips , PCB and Perron , P . 1988 . Testing for a unit root in a time series regression . Biometrika , 75 : 335 – 46 .
  • Porter-Hudak , S . 1990 . An application of the seasonal fractionally differenced model to the monetary aggregates . Journal of the American Statistical Association , 85 : 338 – 44 .
  • Robinson , PM . 1978 . Statistical inference for a random coefficient autoregressive model . Scandinavian Journal of Statistics , 5 : 163 – 8 .
  • Robinson , PM . 1994 . Efficient tests of nonstationary hypotheses . Journal of the American Statistical Association , 89 : 1420 – 37 .
  • Savvides A Zachariadis M 2005 International technology diffusion and the growth of TFP in the manufacturing sector of developing economies Review of Development Economics forthcoming
  • Shapiro , M . 1996 . Macroeconomic implications of the workweek of capital . Brookings Papers on Economic Activities , 2 : 79 – 119 .
  • Sowell , F . 1992 . Maximum likelihood estimation of stationary univariate fractionally integrated time series models . Journal of Econometrics , 53 : 165 – 88 .
  • Taqqu , MS , Willinger , W and Sherman , R . 1997 . Proof of a fundamental result in self-similar traffic modelling . Computer Communication Review , 27 : 5 – 23 .
  • Torstensson , R . 1999 . Growth, knowledge transfer and European integration . Applied Economics , 31 : 97 – 106 .
  • Van Pottelsberghe de la Potterie , B and Lichtenberg , F . 2001 . Does foreign direct investment transfer technology across borders? . Review of Economics and Statistics , 83 : 490 – 7 .
  • Veloce , W and Kovstas , Z . 1996 . Unemployment hysteresis in Canada. An approach based on long memory time series . Applied Economics , 28 : 823 – 31 .
  • Xu , B . 2000 . Multinational enterprises, technology diffusion, and host country productivity growth . Journal of Development Economics , 62 : 477 – 93 .

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.