Seasonal fractional components in macroeconomic time series
Seasonal fractional models are shown in this article to be alternative credible ways of modelling the seasonal component in macroeconomic time series. A testing procedure that allows one to test different orders of integration at zero and at each of the seasonal frequencies is described. This procedure is then applied to the Italian consumption and income series, the results being very sensitive to the way of modelling the I(0) disturbances.
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Volume (Year): 36 (2004)
Issue (Month): 12 ()
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- Osborn, Denise R, et al, 1988. "Seasonality and the Order of Integration for Consumption," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 50(4), pages 361-77, November.
- L A Gil-Alana & Peter M. Robinson, 2000.
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"Seasonal Integration And Cointegration,"
0-88-2, Pennsylvania State - Department of Economics.
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- Gil-Alana, Luis A., 2000. "Mean reversion in the real exchange rates," Economics Letters, Elsevier, vol. 69(3), pages 285-288, December.
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