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 InfoPaper provided by Economics and Finance Section, School of Social Sciences, Brunel University in its series Economics and Finance Discussion Papers with number 06-13.
Length: 20 pages
Date of creation: Apr 2006
Date of revision:
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Postal: Brunel University, Uxbridge, Middlesex UB8 3PH, UK
Other versions of this item:
- Guglielmo Caporale & Luis Gil-Alana, 2008. "Testing for unit and fractional orders of integration in the trend and seasonal components of US monetary aggregates," Empirica, Springer, vol. 35(3), pages 241-253, July.
- 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
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