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Testing Seasonality in the Context of Fractionally Integrated Processes

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  • Luis A. Gil-Alana

Abstract

We propose in this article the use of a version of the tests of Robinson [1994] for testing seasonally fractionally integrated processes. The tests have standard null and local limit distributions and allow us to test unit and fractional seasonal roots even with different amplitudes at different frequencies. A Monte Carlo experiment is conducted to check the power of the tests against different types of fractional alternatives and, an empirical application, using quarterly data for the U.S. total expenditure of several monetary aggregates, is also carried out at the end of the article.

Suggested Citation

  • Luis A. Gil-Alana, 2006. "Testing Seasonality in the Context of Fractionally Integrated Processes," Annals of Economics and Statistics, GENES, issue 81, pages 69-91.
  • Handle: RePEc:adr:anecst:y:2006:i:81:p:69-91
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    File URL: http://www.jstor.org/stable/20079139
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    Cited by:

    1. Carlos P. Barros & Guglielmo Maria Caporale & Luis A. Gil-Alana, 2014. "Long Memory in Angolan Macroeconomic Series: Mean Reversion versus Explosive Behaviour," African Development Review, African Development Bank, vol. 26(1), pages 59-73, March.

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