IDEAS home Printed from https://ideas.repec.org/a/wsi/serxxx/v50y2005i02ns0217590805001950.html
   My bibliography  Save this article

Fractional Integration At Zero And The Cyclical Frequencies In The Specification Of Us Prices

Author

Listed:
  • L. A. GIL-ALANA

    (Facultad de Ciencias Economicas, Universidad de Navarra, Edificio Biblioteca, Entrada Este, E-31080 Pamplona, Spain)

Abstract

In this paper we show that US prices can be specified in terms of a time series model that contains roots simultaneously at zero and the cyclical frequencies. Using a general procedure for testing this type of hypothesis, the results show that the secular component in the US prices is nonstationary, with an order of integration ranging between 0.7 and 1.4. However, the cyclical part seems to be stationary, with the order of integration fluctuating around 0. This implies that shocks affecting the long run component will be highly persistent, while those affecting the cyclical part will disappear quickly.

Suggested Citation

  • L. A. Gil-Alana, 2005. "Fractional Integration At Zero And The Cyclical Frequencies In The Specification Of Us Prices," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 50(02), pages 169-173.
    • Handle: RePEc:wsi:serxxx:v:50:y:2005:i:02:n:s0217590805001950
    DOI: 10.1142/S0217590805001950
    as

    Download full text from publisher

    File URL: http://www.worldscientific.com/doi/abs/10.1142/S0217590805001950
    Download Restriction: Access to full text is restricted to subscribers
    File URL: https://libkey.io/10.1142/S0217590805001950?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.

    References listed on IDEAS

    as
    1. N/A, 1980. "India-China Relations January-February 1979," China Report, , vol. 16(1), pages 61-76, January.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Wing-Keung Wong & Habibullah Khan & Jun Du, 2006. "Do Money And Interest Rates Matter For Stock Prices? An Econometric Study Of Singapore And Usa," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 51(01), pages 31-51.

    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:wsi:serxxx:v:50:y:2005:i:02:n:s0217590805001950. 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.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with 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: Tai Tone Lim (email available below). General contact details of provider: http://www.worldscinet.com/ser/ser.shtml .

    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.