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Investigating the seasonal structure in the German economy using fractional integration with structural breaks

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  • Luis A. Gil-Alana

Abstract

Purpose - The purpose of the paper is to examine the seasonal structure in the German monetary aggregate Design/methodology/approach - The authors use a version of the tests of Robinson that permits testing seasonal I (d) models with the possibility of incorporating seasonal dummy variables and structural breaks. Findings - The results show that there is a strong degree of persistence in their behaviour, especially at the long run or zero frequency, with orders of integration ranging between 1.25 and 1.50. Originality/value - The main innovation in this work is the use of a new time series approach to the case of seasonality.

Suggested Citation

  • Luis A. Gil-Alana, 2007. "Investigating the seasonal structure in the German economy using fractional integration with structural breaks," Studies in Economics and Finance, Emerald Group Publishing, vol. 24(2), pages 96-114, June.
  • Handle: RePEc:eme:sefpps:v:24:y:2007:i:2:p:96-114
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    References listed on IDEAS

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    Keywords

    Germany; National economy; Monetary policy;

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