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Testing for unit and fractional orders of integration in the trend and seasonal components of US monetary aggregates

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  • Guglielmo Caporale

    ()

  • Luis Gil-Alana

Abstract

Monthly 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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File URL: http://hdl.handle.net/10.1007/s10663-008-9061-8
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Bibliographic Info

Article provided by Springer in its journal Empirica.

Volume (Year): 35 (2008)
Issue (Month): 3 (July)
Pages: 241-253

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Handle: RePEc:kap:empiri:v:35:y:2008:i:3:p:241-253

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Web page: http://www.springerlink.com/link.asp?id=100261

Related research

Keywords: Seasonality; Long memory; Monetary aggregates; C15; C22;

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  1. repec:fth:erroem:9515/a is not listed on IDEAS
  2. Hylleberg, S. & Engle, R. F. & Granger, C. W. J. & Yoo, B. S., 1990. "Seasonal integration and cointegration," Journal of Econometrics, Elsevier, vol. 44(1-2), pages 215-238.
  3. Ooms, M., 1995. "Flexible Seasonal Long Memory and Economic Time Series," Econometric Institute Report EI 9515-/A, Erasmus University Rotterdam, Econometric Institute.
  4. Gil-Alana, L. A. & Robinson, P. M., 1997. "Testing of unit root and other nonstationary hypotheses in macroeconomic time series," Journal of Econometrics, Elsevier, vol. 80(2), pages 241-268, October.
  5. Baillie, Richard T., 1996. "Long memory processes and fractional integration in econometrics," Journal of Econometrics, Elsevier, vol. 73(1), pages 5-59, July.
  6. Nelson, Charles R. & Plosser, Charles I., 1982. "Trends and random walks in macroeconmic time series : Some evidence and implications," Journal of Monetary Economics, Elsevier, vol. 10(2), pages 139-162.
  7. Gil-Alana, Luis A., 1999. "Testing fractional integration with monthly data," Economic Modelling, Elsevier, vol. 16(4), pages 613-629, December.
  8. Gil-Alana, L. & Robinson, P.M., 1998. "Testing of Seasonal Fractional Integration in U.K. and Japanese Consumption and Income," Economics Working Papers eco98/20, European University Institute.
  9. Josu Artech & Peter M Robinson, 1998. "Semiparametric Inference in Seasonal and Cyclical Long Memory Processes - (Now published in Journal of Time Series Analysis, 21 (2000), pp.1-25.)," STICERD - Econometrics Paper Series /1998/359, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  10. Joseph Beaulieu, J. & Miron, Jeffrey A., 1993. "Seasonal unit roots in aggregate U.S. data," Journal of Econometrics, Elsevier, vol. 55(1-2), pages 305-328.
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