IDEAS home Printed from https://ideas.repec.org/p/ces/ceswps/_1989.html
   My bibliography  Save this paper

Deterministic versus Stochastic Seasonal Fractional Integration and Structural Breaks

Author

Listed:
  • Guglielmo Maria Caporale
  • Juncal Cunado
  • Luis A. Gil-Alana

Abstract

This paper considers a general model which allows for both deterministic and stochastic forms of seasonality, including fractional (stationary and nonstationary) orders of integration, and also incorporating endogenously determined structural breaks. Monte Carlo analysis shows that the suggested procedure performs well even in small samples, accurately capturing the seasonal properties of the series, and correctly detecting the break date. As an illustration, the model is estimated for four different US series (output, consumption, imports and exports). The results suggest that the seasonal patterns of these variables have changed over time: specifically, in the second subsample the systematic component of seasonality becomes insignificant, whilst the degree of persistence increases.

Suggested Citation

  • Guglielmo Maria Caporale & Juncal Cunado & Luis A. Gil-Alana, 2007. "Deterministic versus Stochastic Seasonal Fractional Integration and Structural Breaks," CESifo Working Paper Series 1989, CESifo.
    • Handle: RePEc:ces:ceswps:_1989
    as

    Download full text from publisher

    File URL: https://www.cesifo.org/DocDL/cesifo1_wp1989.pdf
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. 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.
    2. Gourieroux, Christian & Jasiak, Joann, 2001. "Memory and infrequent breaks," Economics Letters, Elsevier, vol. 70(1), pages 29-41, January.
    3. Gil-Alaña, Luis A., 2000. "Deterministic seasonality versus seasonal fractional integration," SFB 373 Discussion Papers 2000,106, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    4. Carlin, J. B. & Dempster, A. P. & Jonas, A. B., 1985. "On models and methods for Bayesian time series analysis," Journal of Econometrics, Elsevier, vol. 30(1-2), pages 67-90.
    5. 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.
    6. Diebold, Francis X. & Inoue, Atsushi, 2001. "Long memory and regime switching," Journal of Econometrics, Elsevier, vol. 105(1), pages 131-159, November.
    7. Clive W.J. Granger & Namwon Hyung, 2013. "Occasional Structural Breaks and Long Memory," Annals of Economics and Finance, Society for AEF, vol. 14(2), pages 739-764, November.
    8. Gil-Alana, Luis A., 2002. "Seasonal long memory in the aggregate output," Economics Letters, Elsevier, vol. 74(3), pages 333-337, February.
    9. Hylleberg, Svend, 1986. "Seasonality in Regression," Elsevier Monographs, Elsevier, edition 1, number 9780123634559 edited by Shell, Karl.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Marcel Aloy & Mohamed Boutahar & Karine Gente & Anne Péguin-feissolle, 2010. "Fractional integration and cointegration in stock prices and exchange rates," Economics Bulletin, AccessEcon, vol. 30(1), pages 115-129.
    2. Aloy, Marcel & Boutahar, Mohamed & Gente, Karine & Péguin-Feissolle, Anne, 2011. "Purchasing power parity and the long memory properties of real exchange rates: Does one size fit all?," Economic Modelling, Elsevier, vol. 28(3), pages 1279-1290, May.
    3. Amegashie, J. Atsu & Ouattara, Bazoumanna & Strobl, Eric, 2007. "Moral Hazard and the Composition of Transfers: Theory with an Application to Foreign Aid," MPRA Paper 3158, University Library of Munich, Germany, revised 06 May 2007.
    4. repec:ebl:ecbull:v:30:y:2010:i:1:p:115-129 is not listed on IDEAS

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Gil-Alana, Luis A. & Fischer, Christian, 2007. "International traveling and trade: further evidence for the case of Spanish wine based on fractional VAR specifications," 105th Seminar, March 8-10, 2007, Bologna, Italy 7859, European Association of Agricultural Economists.
    2. Luis A. Gil-Alana & Juncal Cunado & Fernando Perez de Gracia, 2008. "Tourism in the Canary Islands: forecasting using several seasonal time series models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(7), pages 621-636.
    3. Christian Fischer & Luis Alberiko Gil-Alana, 2005. "The Nature of the Relationship between International Tourism and International Trade: The Case of Ge," Faculty Working Papers 15/05, School of Economics and Business Administration, University of Navarra.
    4. L.A. Gil-Alana, 2005. "Fractional Cyclical Structures & Business Cycles in the Specification of the US Real Output," European Research Studies Journal, European Research Studies Journal, vol. 0(1-2), pages 99-126.
    5. Maria Caporale, Guglielmo & A. Gil-Alana, Luis, 2011. "Multi-Factor Gegenbauer Processes and European Inflation Rates," Journal of Economic Integration, Center for Economic Integration, Sejong University, vol. 26, pages 386-409.
    6. Gil-Alana, L.A., 2006. "Seasonal and non-seasonal long memory effects in the Japanese real effective exchange rate," Journal of the Japanese and International Economies, Elsevier, vol. 20(1), pages 87-98, March.
    7. Christian Fischer & Luis Gil-Alana, 2009. "The nature of the relationship between international tourism and international trade: the case of German imports of Spanish wine," Applied Economics, Taylor & Francis Journals, vol. 41(11), pages 1345-1359.
    8. Gil-Alana, L.A., 2008. "Testing of seasonal integration and cointegration with fractionally integrated techniques: An application to the Danish labour demand," Economic Modelling, Elsevier, vol. 25(2), pages 326-339, March.
    9. Luis Gil-Alana, 2010. "A seasonal fractional multivariate model. A testing procedure and impulse responses for the analysis of GDP and unemployment dynamics," Empirical Economics, Springer, vol. 38(2), pages 471-501, April.
    10. Guglielmo Caporale & Luis Gil-Alana, 2009. "Multiple shifts and fractional integration in the US and UK unemployment rates," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 33(4), pages 364-375, October.
    11. Gil-Alaña, Luis A., 2000. "Deterministic seasonality versus seasonal fractional integration," SFB 373 Discussion Papers 2000,106, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    12. Guglielmo Maria Caporale & Luis Gil-Alana, 2006. "Long memory at the long-run and the seasonal monthly frequencies in the US money stock," Applied Economics Letters, Taylor & Francis Journals, vol. 13(15), pages 965-968.
    13. Guglielmo M. Caporale & Luis A. Gil‐Alana, 2004. "Testing for Seasonal Fractional Roots in German Real Output," German Economic Review, Verein für Socialpolitik, vol. 5(3), pages 319-333, August.
    14. Luis A. Gil-Alana & OlaOluwa S. Yaya, 2021. "Testing fractional unit roots with non-linear smooth break approximations using Fourier functions," Journal of Applied Statistics, Taylor & Francis Journals, vol. 48(13-15), pages 2542-2559, November.
    15. Cunado, J. & Gil-Alana, L. A. & Perez de Gracia, F., 2004. "Is the US fiscal deficit sustainable?: A fractionally integrated approach," Journal of Economics and Business, Elsevier, vol. 56(6), pages 501-526.
    16. Guglielmo Maria Caporale & Luis Gil‐Alana, 2014. "Long‐Run and Cyclical Dynamics in the US Stock Market," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 33(2), pages 147-161, March.
    17. L.A. Gil-Alanaa, 2007. "Testing The Existence of Multiple Cycles in Financial and Economic Time Series," Annals of Economics and Finance, Society for AEF, vol. 8(1), pages 1-20, May.
    18. Gil-Alana, Luis A., 2004. "Modelling the U.S. interest rate in terms of I(d) statistical models," The Quarterly Review of Economics and Finance, Elsevier, vol. 44(4), pages 475-486, September.
    19. Leipus, Remigijus & Viano, Marie-Claude, 2003. "Long memory and stochastic trend," Statistics & Probability Letters, Elsevier, vol. 61(2), pages 177-190, January.
    20. Luis Gil-Alana, 2004. "Seasonal fractional components in macroeconomic time series," Applied Economics, Taylor & Francis Journals, vol. 36(12), pages 1265-1279.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ces:ceswps:_1989. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Klaus Wohlrabe (email available below). General contact details of provider: https://edirc.repec.org/data/cesifde.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.