In this article we propose a new approach that permits us to simultaneously test unit and fractional roots at the long run and the seasonal frequencies. We examine the industrial production indexes in four Latin American countries (Brazil, Argentina, Colombia and Mexico), using new statistical tools based on seasonal and non-seasonal long memory processes. Results show that the root at the long run or zero frequency plays a much more important role than the seasonal one. Nevertheless, in the cases of Brazil and Argentina a component of long memory behaviour is also present at the seasonal structure, indicating that shocks modify the seasonal structure for a long period. Policy makers should thus pay attention to this result in choosing the optimal economic policy.
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Paper provided by School of Economics and Business Administration, University of Navarra in its series Faculty Working Papers with number
08/04.
Length: 17 pages pages Date of creation: Apr 2004 Date of revision: Publication status: Published, Journal of Policy Modelling, 2004, vol. 26: pp. 301-313 Handle: RePEc:una:unccee:wp0804
Find related papers by JEL classification: C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Statistical Simulation Methods C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions
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