IDEAS home Printed from https://ideas.repec.org/a/eaa/aeinde/v3y2003i3_5.html
   My bibliography  Save this article

Generalized Fractional Time Series Modelling of the Relationship between Consumption and Income in the UK

Author

Listed:
  • Gil-Alana, Luis A.

Abstract

We propose in this article a general time series model, whose components are modelled in terms of fractionally integrated processes. This specification allows us to consider the trend, the seasonal and the cyclical components as stochastic processes, including the unit root models as particular cases. A very general version of the tests of Robinson (1994) is used to test the order of integration of each component. Finite-sample critical values of the tests are evaluated and, an empirical application, is also carried out at the end of the article.

Suggested Citation

  • Gil-Alana, Luis A., 2003. "Generalized Fractional Time Series Modelling of the Relationship between Consumption and Income in the UK," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 3(1).
  • Handle: RePEc:eaa:aeinde:v:3:y:2003:i:3_5
    as

    Download full text from publisher

    File URL: http://www.usc.es/economet/reviews/aeid315.pdf
    Download Restriction: No
    ---><---

    References listed on IDEAS

    as
    1. L. A. Gil‐Alana, 2001. "Testing Stochastic Cycles in Macroeconomic Time Series," Journal of Time Series Analysis, Wiley Blackwell, vol. 22(4), pages 411-430, July.
    2. Juha Ahtola & George C. Tiao, 1987. "Distributions Of Least Squares Estimators Of Autoregressive Parameters For A Process With Complex Roots On The Unit Circle," Journal of Time Series Analysis, Wiley Blackwell, vol. 8(1), pages 1-14, January.
    3. 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.
    4. Baillie, Richard T., 1996. "Long memory processes and fractional integration in econometrics," Journal of Econometrics, Elsevier, vol. 73(1), pages 5-59, July.
    5. Uwe Hassler, 1994. "(Mis)Specification Of Long Memory In Seasonal Time Series," Journal of Time Series Analysis, Wiley Blackwell, vol. 15(1), pages 19-30, January.
    6. William R. Parke, 1999. "What Is Fractional Integration?," The Review of Economics and Statistics, MIT Press, vol. 81(4), pages 632-638, November.
    Full references (including those not matched with items 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. 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.
    2. 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.
    3. 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.
    4. L.A. Gil-Alana, 2003. "Testing the Power of a Generalization of the KPSS-Tests against Fractionally Integrated Hypotheses," Computational Economics, Springer;Society for Computational Economics, vol. 22(1), pages 23-38, August.
    5. 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.
    6. J. Cunado & L.A. Gil-Alana & F. Pérez de Gracia, 2004. "Modelling Monthly Spanish Tourism: A Seasonal Fractionally Integrated Approach," Tourism Economics, , vol. 10(1), pages 79-94, March.
    7. 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.
    8. 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.
    9. Luis Gil-Alana, 2003. "Strong dependence in the real interest rates," Applied Economics, Taylor & Francis Journals, vol. 35(2), pages 119-124.
    10. Guglielmo Maria Caporale & Juncal Cuñado & Luis A. Gil-Alana, 2013. "Modelling long-run trends and cycles in financial time series data," Journal of Time Series Analysis, Wiley Blackwell, vol. 34(3), pages 405-421, May.
    11. 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.
    12. 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.
    13. Bertrand Candelon & Luis A. Gil-Alana, 2004. "Fractional integration and business cycle features," Empirical Economics, Springer, vol. 29(2), pages 343-359, May.
    14. Cunado, J. & Gil-Alana, L. A. & Perez de Gracia, F., 2004. "Real convergence in Taiwan: a fractionally integrated approach," Journal of Asian Economics, Elsevier, vol. 15(3), pages 529-547, June.
    15. Laurent Ferrara & Dominique Guégan, 2008. "Business surveys modelling with Seasonal-Cyclical Long Memory models," Economics Bulletin, AccessEcon, vol. 3(29), pages 1-10.
    16. 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.
    17. 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.
    18. Caporale, Guglielmo Maria & Gil-Alana, Luis A., 2017. "Persistence and cycles in the us federal funds rate," International Review of Financial Analysis, Elsevier, vol. 52(C), pages 1-8.
    19. Luis A. Gil‐Alana & S. G. Brian Henry, 2003. "Fractional Integration and the Dynamics of UK Unemployment," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 65(2), pages 221-239, May.
    20. repec:ebl:ecbull:v:3:y:2004:i:7:p:1-10 is not listed on IDEAS
    21. Gil-Alana, Luis A., 2002. "A mean shift break in the US interest rate," Economics Letters, Elsevier, vol. 77(3), pages 357-363, November.

    More about this item

    JEL classification:

    • C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
    • O52 - Economic Development, Innovation, Technological Change, and Growth - - Economywide Country Studies - - - Europe

    Statistics

    Access and download statistics

    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:eaa:aeinde:v:3:y:2003:i:3_5. 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: M. Carmen Guisan (email available below). General contact details of provider: http://www.usc.es/economet/eaa.htm .

    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.