Investigating the seasonal structure in the German economy using fractional integration with structural breaks
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.
Volume (Year): 24 (2007)
Issue (Month): 2 (June)
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