A Generalized Fractional Time Series Model: Testing the Order of Integration of Trend Seasonal and Cyclical components

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A Generalized Fractional Time Series Model: Testing the Order of Integration of Trend Seasonal and Cyclical components

Author Info

Gil-Alana, L. A. (U. Navarra)

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Luis Alberiko Gil-Alana

Abstract

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Article provided by International Association of Economic Cycles in its journal Review on Economic Cycles.

Volume (Year): 7 (2003)
Issue (Month): 1 (December)
Pages:
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Handle: RePEc:rec:cycles:v:7:y:2003:i:1_1

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Diebold, Francis X. & Rudebusch, Glenn D., 1989. "Long memory and persistence in aggregate output," Journal of Monetary Economics, Elsevier, vol. 24(2), pages 189-209, September. [Downloadable!] (restricted)
Other versions:
- Francis X. Diebold & Glenn D. Rudebusch, 1988. "Long memory and persistence in aggregate output," Finance and Economics Discussion Series 7, Board of Governors of the Federal Reserve System (U.S.).
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. [Downloadable!] (restricted)
Ooms, M., 1995. "Flexible Seasonal Long Memory and Economic Time Series," Papers 9515/a, Erasmus University of Rotterdam - Econometric Institute.
Other versions:
- Ooms, Marius, 1995. "Flexible seasonal long memory and economic time series," Econometric Institute Report 134, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
- Ooms, M., 1995. "Flexible Seasonal Long Memory and Economic Time Series," Econometric Institute Report ometric Institute Reports, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
Baillie, Richard T., 1996. "Long memory processes and fractional integration in econometrics," Journal of Econometrics, Elsevier, vol. 73(1), pages 5-59, July. [Downloadable!] (restricted)
Diebold, Francis X & Rudebusch, Glenn D, 1991. "Is Consumption Too Smooth? Long Memory and the Deaton Paradox," The Review of Economics and Statistics, MIT Press, vol. 73(1), pages 1-9, February. [Downloadable!] (restricted)
Other versions:
- Francis X. Diebold & Glenn D. Rudebusch, 1989. "Is consumption too smooth? Long memory and the Deaton paradox," Finance and Economics Discussion Series 57, Board of Governors of the Federal Reserve System (U.S.).
Gil-Alana, Luis A., 2000. "Mean reversion in the real exchange rates," Economics Letters, Elsevier, vol. 69(3), pages 285-288, December. [Downloadable!] (restricted)
Granger, C. W. J., 1980. "Long memory relationships and the aggregation of dynamic models," Journal of Econometrics, Elsevier, vol. 14(2), pages 227-238, October. [Downloadable!] (restricted)
William R. Parke, 1999. "What Is Fractional Integration?," The Review of Economics and Statistics, MIT Press, vol. 81(4), pages 632-638, November. [Downloadable!] (restricted)
L. A. Gil-Alana & P. M. Robinson, 2001. "Testing of seasonal fractional integration in UK and Japanese consumption and income," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(2), pages 95-114. [Downloadable!]
Other versions:
- 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.
- L A Gil-Alaña & Peter M Robinson, 2000. "Testing of Seasonal Fractional Integration in UK and Japanese Consumption and Income," STICERD - Econometrics Paper Series /2000/402, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE. [Downloadable!]

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