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Investigating the seasonal structure in the German economy using fractional integration with structural breaks

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Author Info

  • Luis A. Gil-Alana

Abstract

Purpose – The purpose of the paper is to examine the seasonal structure in the German monetary aggregate M1 and output by means of fractional integration techniques. Design/methodology/approach – The authors use a version of the tests of Robinson that permits testing seasonal I (d) models with the possibility of incorporating seasonal dummy variables and structural breaks. Findings – The results show that there is a strong degree of persistence in their behaviour, especially at the long run or zero frequency, with orders of integration ranging between 1.25 and 1.50. Originality/value – The main innovation in this work is the use of a new time series approach to the case of seasonality.

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Bibliographic Info

Article provided by Emerald Group Publishing in its journal Studies in Economics and Finance.

Volume (Year): 24 (2007)
Issue (Month): 2 (June)
Pages: 96-114

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Handle: RePEc:eme:sefpps:v:24:y:2007:i:2:p:96-114

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Related research

Keywords: Germany; Monetary policy; National economy;

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