IDEAS home Printed from https://ideas.repec.org/a/eme/sefpps/v24y2007i2p96-114.html
   My bibliography  Save this article

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

Author

Listed:
  • Luis A. Gil‐Alana

Abstract

Purpose - The purpose of the paper is to examine the seasonal structure in the German monetary aggregateM1 and output by means of fractional integration techniques. 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 Limited, vol. 24(2), pages 96-114, June.
  • Handle: RePEc:eme:sefpps:v:24:y:2007:i:2:p:96-114
    DOI: 10.1108/10867370710756165
    as

    Download full text from publisher

    File URL: https://www.emerald.com/insight/content/doi/10.1108/10867370710756165/full/html?utm_source=repec&utm_medium=feed&utm_campaign=repec
    Download Restriction: Access to full text is restricted to subscribers

    File URL: https://www.emerald.com/insight/content/doi/10.1108/10867370710756165/full/pdf?utm_source=repec&utm_medium=feed&utm_campaign=repec
    Download Restriction: Access to full text is restricted to subscribers

    File URL: https://libkey.io/10.1108/10867370710756165?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    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:eme:sefpps:v:24:y:2007:i:2:p:96-114. 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.

    We have no bibliographic references for this item. You can help adding them by using 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: Emerald Support (email available below). General contact details of provider: .

    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.