Deterministic versus Stochastic Seasonal Fractional Integration and Structural Breaks
This paper considers a general model which allows for both deterministic and stochastic forms of seasonality, including fractional (stationary and nonstationary) orders of integration, and also incorporating endogenously determined structural breaks. Monte Carlo analysis shows that the suggested procedure performs well even in small samples, accurately capturing the seasonal properties of the series, and correctly detecting the break date. As an illustration, the model is estimated for four different US series (output, consumption, imports and exports). The results suggest that the seasonal patterns of these variables have changed over time: specifically, in the second subsample the systematic component of seasonality becomes insignificant, whilst the degree of persistence increases.
|Date of creation:||2007|
|Date of revision:|
|Contact details of provider:|| Postal: Poschingerstrasse 5, 81679 Munich|
Phone: +49 (89) 9224-0
Fax: +49 (89) 985369
Web page: http://www.cesifo-group.de
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Gil-Alana, Luis A., 2002. "Seasonal long memory in the aggregate output," Economics Letters, Elsevier, vol. 74(3), pages 333-337, February.
- Gourieroux, Christian & Jasiak, Joann, 2001. "Memory and infrequent breaks," Economics Letters, Elsevier, vol. 70(1), pages 29-41, January.
- L A Gil-Alana & Peter M. Robinson, 2000.
"Testing of seasonal fractional integration in UK and Japanese consumption and income,"
LSE Research Online Documents on Economics
2051, London School of Economics and Political Science, LSE Library.
- 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.
- Gil-Alana, L. & Robinson, P.M., 1998. "Testing of Seasonal Fractional Integration in U.K. and Japanese Consumption and Income," Economics Working Papers eco98/20, European University Institute.
- Granger, Clive W.J. & Hyung, Namwon, 1999.
"Occasional Structural Breaks and Long Memory,"
University of California at San Diego, Economics Working Paper Series
qt4d60t4jh, Department of Economics, UC San Diego.
- Diebold, Francis X. & Inoue, Atsushi, 2001.
"Long memory and regime switching,"
Journal of Econometrics,
Elsevier, vol. 105(1), pages 131-159, November.
- Hyllerberg, S. & Engle, R.F. & Granger, C.W.J. & Yoo, B.S., 1988.
"Seasonal Integration And Cointegration,"
0-88-2, Pennsylvania State - Department of Economics.
- Carlin, J. B. & Dempster, A. P. & Jonas, A. B., 1985. "On models and methods for Bayesian time series analysis," Journal of Econometrics, Elsevier, vol. 30(1-2), pages 67-90.
- L. A. Gil-Alaña & Peter M. Robinson, 2001. "Testing of seasonal fractional integration in UK and Japanese consumption and income," LSE Research Online Documents on Economics 298, London School of Economics and Political Science, LSE Library.
- Luis A. Gil-Alana, 2004. "Deterministic Seasonality versus Seasonal Fractional Integration," Faculty Working Papers 07/04, School of Economics and Business Administration, University of Navarra.
When requesting a correction, please mention this item's handle: RePEc:ces:ceswps:_1989. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Klaus Wohlrabe)
If references are entirely missing, you can add them using this form.