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Testing of seasonal integration and cointegration with fractionally integrated techniques: An application to the Danish labour demand

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  • Gil-Alana, L.A.

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Article provided by Elsevier in its journal Economic Modelling.

Volume (Year): 25 (2008)
Issue (Month): 2 (March)
Pages: 326-339

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Handle: RePEc:eee:ecmode:v:25:y:2008:i:2:p:326-339

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Web page: http://www.elsevier.com/locate/inca/30411

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References

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  7. Cubadda, Gianluca & Omtzigt, Pieter, 2003. "Small Sample Improvements in the Statistical Analysis of Seasonally Cointegrated Systems," Economics & Statistics Discussion Papers esdp03012, University of Molise, Dept. EGSeI.
  8. Palaskas, Theodosios B & Crowe, Trevor J, 1996. "Testing for Price Transmission with Seasonally Integrated Producer and Consumer Price Series from Agriculture," European Review of Agricultural Economics, Foundation for the European Review of Agricultural Economics, Foundation for the European Review of Agricultural Economics, vol. 23(4), pages 473-86.
  9. Fanelli, Luca, 2002. "A new approach for estimating and testing the linear quadratic adjustment cost model under rational expectations and I(1) variables," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 26(1), pages 117-139, January.
  10. Denis Kwiatkowski & Peter C.B. Phillips & Peter Schmidt, 1991. "Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root: How Sure Are We That Economic Time Series Have a Unit Root?," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 979, Cowles Foundation for Research in Economics, Yale University.
  11. Lee, H.S. & Siklos, P.L., 1991. "Unit Roots and Seasonal Unit Roots in Macroeconomic Time Series: Canadian Evidence," Working Papers, Wilfrid Laurier University, Department of Economics 91143, Wilfrid Laurier University, Department of Economics.
  12. Kremers, Jeroen J M & Ericsson, Neil R & Dolado, Juan J, 1992. "The Power of Cointegration Tests," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 54(3), pages 325-48, August.
  13. Diebold, Francis X. & Inoue, Atsushi, 2001. "Long memory and regime switching," Journal of Econometrics, Elsevier, Elsevier, vol. 105(1), pages 131-159, November.
  14. L A Gil-Alaña & Peter M Robinson, 2000. "Testing of Seasonal Fractional Integration in UK and Japanese Consumption and Income," STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE /2000/402, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  15. Hylleberg, S. & Engle, R. F. & Granger, C. W. J. & Yoo, B. S., 1990. "Seasonal integration and cointegration," Journal of Econometrics, Elsevier, Elsevier, vol. 44(1-2), pages 215-238.
  16. Franses, Ph.H.B.F. & Kunst, R.M., 1998. "On the role of seasonal intercepts in seasonal cointegration," Econometric Institute Research Papers EI 9820, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  17. William R. Parke, 1999. "What Is Fractional Integration?," The Review of Economics and Statistics, MIT Press, vol. 81(4), pages 632-638, November.
  18. Peter M. Robinson & Carlos Velasco, 2000. "Whittle pseudo-maximum likelihood estimation for nonstationary time series," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library 2273, London School of Economics and Political Science, LSE Library.
  19. Engle, R. F. & Granger, C. W. J. & Hylleberg, S. & Lee, H. S., 1993. "The Japanese consumption function," Journal of Econometrics, Elsevier, Elsevier, vol. 55(1-2), pages 275-298.
  20. Kunst, Robert M, 1993. "Seasonal Cointegration in Macroeconomic Systems: Case Studies for Small and Large European Countries," The Review of Economics and Statistics, MIT Press, vol. 75(2), pages 325-30, May.
  21. Willa Chen & Clifford Hurvich, 2004. "Semiparametric Estimation of Fractional Cointegrating Subspaces," Econometrics, EconWPA 0412007, EconWPA.
  22. Silvapulle, P., 1995. "A Score Test for Seasonal Fractional Integration and Cointegration," Working Papers, University of Iowa, Department of Economics 95-08, University of Iowa, Department of Economics.
  23. Lee, Hahn S. & Siklos, Pierre L., 1995. "A note on the critical values for the maximum likelihood (seasonal) cointegration tests," Economics Letters, Elsevier, Elsevier, vol. 49(2), pages 137-145, August.
  24. L A Gil-Alana & Peter M. Robinson, 2000. "Testing of seasonal fractional integration in UK and Japanese consumption and income," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library 2051, London School of Economics and Political Science, LSE Library.
  25. Ghysels, Eric & Lee, Hahn S. & Noh, Jaesum, 1994. "Testing for unit roots in seasonal time series : Some theoretical extensions and a Monte Carlo investigation," Journal of Econometrics, Elsevier, Elsevier, vol. 62(2), pages 415-442, June.
  26. Carlin, J. B. & Dempster, A. P. & Jonas, A. B., 1985. "On models and methods for Bayesian time series analysis," Journal of Econometrics, Elsevier, Elsevier, vol. 30(1-2), pages 67-90.
  27. Luis A. Gil-Alana, 2003. "Testing of Fractional Cointegration in Macroeconomic Time Series," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 65(4), pages 517-529, 09.
  28. Ahn, Sung K. & Cho, Sinsup, 1993. "Some tests for unit roots in seasonal time series with deterministic trends," Statistics & Probability Letters, Elsevier, Elsevier, vol. 16(2), pages 85-95, January.
  29. Byeongchan Seong & Sinsup Cho & Sung K. Ahn, 2006. "Maximum Eigenvalue Test for Seasonal Cointegrating Ranks," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 68(4), pages 497-514, 08.
  30. Dickey, David A & Pantula, Sastry G, 1987. "Determining the Ordering of Differencing in Autoregressive Processes," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 5(4), pages 455-61, October.
  31. Lee, Hahn Shik, 1992. "Maximum likelihood inference on cointegration and seasonal cointegration," Journal of Econometrics, Elsevier, Elsevier, vol. 54(1-3), pages 1-47.
  32. Otto, Glenn & Wirjanto, Tony, 1990. "Seasonal unit-root tests on Canadian macroeconomic time series," Economics Letters, Elsevier, Elsevier, vol. 34(2), pages 117-120, October.
  33. Osborn, Denise R, et al, 1988. "Seasonality and the Order of Integration for Consumption," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 50(4), pages 361-77, November.
  34. Engsted, Tom & Haldrup, Niels, 1994. "The Linear Quadratic Adjustment Cost Model and the Demand for Labour," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 9(S), pages S145-59, Suppl. De.
  35. Luis Gil-Alana, 2003. "Seasonal Misspecification in the Context of Fractionally Integrated Univariate Time Series," Computational Economics, Society for Computational Economics, Society for Computational Economics, vol. 22(1), pages 65-74, August.
  36. Ray, Bonnie K., 1993. "Long-range forecasting of IBM product revenues using a seasonal fractionally differenced ARMA model," International Journal of Forecasting, Elsevier, Elsevier, vol. 9(2), pages 255-269, August.
  37. Granger, C. W. J., 1980. "Long memory relationships and the aggregation of dynamic models," Journal of Econometrics, Elsevier, Elsevier, vol. 14(2), pages 227-238, October.
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  39. Canova, Fabio & Hansen, Bruce E, 1995. "Are Seasonal Patterns Constant over Time? A Test for Seasonal Stability," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 13(3), pages 237-52, July.
  40. Lee, H.S. & Siklos, P.L., 1991. "Unit Roots and Seasonal Unit Roots in Macroeconomic Time Series: Canadian Evidence," Working Papers, Wilfrid Laurier University, Department of Economics 91143, Wilfrid Laurier University, Department of Economics.
  41. Granger, Clive W J, 1997. "On Modelling the Long Run in Applied Economics," Economic Journal, Royal Economic Society, Royal Economic Society, vol. 107(440), pages 169-77, January.
  42. L. A. Gil-Alaña & Peter M. Robinson, 2001. "Testing of seasonal fractional integration in UK and Japanese consumption and income," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library 298, London School of Economics and Political Science, LSE Library.
  43. Ooms, M., 1995. "Flexible Seasonal Long Memory and Economic Time Series," Econometric Institute Research Papers EI 9515-/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
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Cited by:
  1. Marcel Aloy & Mohamed Boutahar & Karine Gente & Anne Péguin-feissolle, 2010. "Fractional integration and cointegration in stock prices and exchange rates," Economics Bulletin, AccessEcon, vol. 30(1), pages 115-129.
  2. repec:ebl:ecbull:v:30:y:2010:i:1:p:115-129 is not listed on IDEAS

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