Testing for unit and fractional orders of integration in the trend and seasonal components of US monetary aggregates
AbstractMonthly seasonally unadjusted data can exhibit roots with possibly fractional orders of integration, corresponding to the monthly but also to the quarterly and to the long-run or trending components of the series. In this paper we use a procedure which is suitable to test simultaneously for the order of integration of each of these components and apply it to several US monetary aggregates.
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Bibliographic InfoArticle provided by Springer in its journal Empirica.
Volume (Year): 35 (2008)
Issue (Month): 3 (July)
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Web page: http://www.springerlink.com/link.asp?id=100261
Seasonality; Long memory; Monetary aggregates; C15; C22;
Other versions of this item:
- Guglielmo Maria Caporale & Luis A. Gil-Alana, 2006. "Testing For Unit And Fractional Orders Of Integration In The Trend And Seasonal Components Of Us Monetary Aggregates," Economics and Finance Discussion Papers 06-13, Economics and Finance Section, School of Social Sciences, Brunel University.
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
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