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A seasonal fractional multivariate model. A testing procedure and impulse responses for the analysis of GDP and unemployment dynamics

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  • Luis Gil-Alana

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  • Luis Gil-Alana, 2010. "A seasonal fractional multivariate model. A testing procedure and impulse responses for the analysis of GDP and unemployment dynamics," Empirical Economics, Springer, vol. 38(2), pages 471-501, April.
    • Handle: RePEc:spr:empeco:v:38:y:2010:i:2:p:471-501
    DOI: 10.1007/s00181-009-0276-8
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    1. Hylleberg, S. & Engle, R. F. & Granger, C. W. J. & Yoo, B. S., 1990. "Seasonal integration and cointegration," Journal of Econometrics, Elsevier, vol. 44(1-2), pages 215-238.
    2. Arteche, Josu & Robinson, Peter M., 1998. "Seasonal and cyclical long memory," LSE Research Online Documents on Economics 2241, London School of Economics and Political Science, LSE Library.
    3. Cho, Sinsup & Park, Young J. & Ahn, Sung K., 1995. "Unit root tests for seasonal models with deterministic trends," Statistics & Probability Letters, Elsevier, vol. 25(1), pages 27-35, October.
    4. 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.
    5. Rodrigues, Paulo M.M. & Taylor, A.M. Robert, 2007. "Efficient tests of the seasonal unit root hypothesis," Journal of Econometrics, Elsevier, vol. 141(2), pages 548-573, December.
    6. Josu Arteche, 2007. "The Analysis of Seasonal Long Memory: The Case of Spanish Inflation," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 69(6), pages 749-772, December.
    7. Caporale Guglielmo M. & Gil-Alana Luis A., 2004. "Testing for Seasonal Fractional Roots in German Real Output," German Economic Review, De Gruyter, vol. 5(3), pages 319-333, August.
    8. Josu Arteche & Peter M. Robinson, 2000. "Semiparametric Inference in Seasonal and Cyclical Long Memory Processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 21(1), pages 1-25, January.
    9. Faust, Jon & Leeper, Eric M, 1997. "When Do Long-Run Identifying Restrictions Give Reliable Results?," Journal of Business & Economic Statistics, American Statistical Association, vol. 15(3), pages 345-353, July.
    10. Joseph Beaulieu, J. & Miron, Jeffrey A., 1993. "Seasonal unit roots in aggregate U.S. data," Journal of Econometrics, Elsevier, vol. 55(1-2), pages 305-328.
    11. Taylor, A M Robert & Smith, Richard J, 2001. "Tests of the Seasonal Unit-Root Hypothesis against Heteroscedastic Seasonal Integration," Journal of Business & Economic Statistics, American Statistical Association, vol. 19(2), pages 192-207, April.
    12. Gil-Alana, Luis A., 2002. "Seasonal long memory in the aggregate output," Economics Letters, Elsevier, vol. 74(3), pages 333-337, February.
    13. Richard J. Smith & A. M. Robert Taylor, 1999. "Likelihood Ratio Tests for Seasonal Unit Roots," Journal of Time Series Analysis, Wiley Blackwell, vol. 20(4), pages 453-476, July.
    14. Ahn, Sung K. & Cho, Sinsup, 1993. "Some tests for unit roots in seasonal time series with deterministic trends," Statistics & Probability Letters, Elsevier, vol. 16(2), pages 85-95, January.
    15. Hylleberg, Svend, 1986. "Seasonality in Regression," Elsevier Monographs, Elsevier, edition 1, number 9780123634559 edited by Shell, Karl.
    16. Reisen, Valderio Anselmo & Rodrigues, Alexandre L. & Palma, Wilfredo, 2006. "Estimation of seasonal fractionally integrated processes," Computational Statistics & Data Analysis, Elsevier, vol. 50(2), pages 568-582, January.
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    Cited by:

    1. José Manuel Belbute & Alfredo Marvão Pereira, 2016. "Does final energy demand in Portugal exhibit long memory? A fractional integration analysis," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, vol. 15(2), pages 59-77, August.
    2. Gómez-Puig, Marta & Sosvilla-Rivero, Simón & Martínez-Zarzoso, Inmaculada, 2022. "On the heterogeneous link between public debt and economic growth," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 77(C).
    3. Voges, Michelle & Sibbertsen, Philipp, 2021. "Cyclical fractional cointegration," Econometrics and Statistics, Elsevier, vol. 19(C), pages 114-129.

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    More about this item

    Keywords

    Seasonality; Multivariate models; Long memory; Macro dynamics; C15;
    All these keywords.

    JEL classification:

    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General

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