Testing of seasonal fractional integration in UK and Japanese consumption and income

Gil-Alaña, L. A. and Robinson, Peter M. (2001) Testing of seasonal fractional integration in UK and Japanese consumption and income. Journal of Applied Econometrics, 16 (2). pp. 95-114. ISSN 1099-1255

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Abstract

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:	Article
Official URL:	http://jae.wiley.com
Additional Information:	Testing of seasonal fractional integration in UK and Japanese consumption and income. Gil-Alana, L. A. & Robinson, Peter M. Journal of applied econometrics, 16 (2) Copyright © 2001 John Wiley & Sons, Inc. http://www.interscience.Wiley.com/ LSE has developed LSE Research Online so that users may access research output of the School. Copyright © and Moral Rights for the papers on this site are retained by the individual authors and/or other copyright owners. Users may download and/or print one copy of any article(s) in LSE Research Online to facilitate their private study or for non-commercial research. You may not engage in further distribution of the material or use it for any profit-making activities or any commercial gain. You may freely distribute the URL (http://eprints.lse.ac.uk) of the LSE Research Online website.
Divisions:	Economics
Subjects:	H Social Sciences > HB Economic Theory
Date Deposited:	17 Feb 2008
Last Modified:	11 Dec 2024 22:24
URI:	http://eprints.lse.ac.uk/id/eprint/298

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