Gil-Alana, L A and Robinson, Peter M. (2000) Testing of seasonal fractional integration in UK and Japanese consumption and income. Econometrics; EM/2000/402, EM/00/402. Suntory and Toyota International Centres for Economics and Related Disciplines, London School of Economics and Political Science, London, UK.
Download (268Kb) | Preview
The seasonal structure of quarterly UK and Japanese consumption and income is examined by means of fractionally-based tests proposed by Robinson (1994). These series were analysed from an autoregressive unit root viewpoint by Hylleberg, Engle, Granger and Yoo (HEGY, 1990) and Hylleberg, Engle, Granger and Lee (HEGL, 1993). We find that seasonal fractional integration, with amplitudes possibly varying across frequencies, is an alternative plausible way of modelling these series.
|Item Type:||Monograph (Discussion Paper)|
|Additional Information:||© 2000 the authors|
|Uncontrolled Keywords:||Fractional integration; nonstationarity; seasonality|
|Library of Congress subject classification:||H Social Sciences > HB Economic Theory|
|Journal of Economic Literature Classification System:||C - Mathematical and Quantitative Methods > C2 - Econometric Methods: Single Equation Models; Single Variables > C22 - Time-Series Models|
|Sets:||Collections > Economists Online
Departments > Economics
Research centres and groups > Suntory and Toyota International Centres for Economics and Related Disciplines (STICERD)
Actions (login required)
|Record administration - authorised staff only|