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Testing of seasonal fractional integration in UK and Japanese consumption and income

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  • Gil-Alana, L A
  • Robinson, Peter M.

Abstract

The seasonal structure of quarterly UK and Japanese consumption and income is examined by means of fractionally-based tests proposed by Robinson (1994). These series were analysed from an autoregressive unit root viewpoint by Hylleberg, Engle, Granger and Yoo (HEGY, 1990) and Hylleberg, Engle, Granger and Lee (HEGL, 1993). We find that seasonal fractional integration, with amplitudes possibly varying across frequencies, is an alternative plausible way of modelling these series.

Suggested Citation

  • Gil-Alana, L A & Robinson, Peter M., 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.
  • Handle: RePEc:ehl:lserod:2051
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    References listed on IDEAS

    as
    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. Hylleberg, Svend & Jorgensen, Clara & Sorensen, Nils Karl, 1993. "Seasonality in Macroeconomic Time Series," Empirical Economics, Springer, vol. 18(2), pages 321-335.
    3. Kwiatkowski, Denis & Phillips, Peter C. B. & Schmidt, Peter & Shin, Yongcheol, 1992. "Testing the null hypothesis of stationarity against the alternative of a unit root : How sure are we that economic time series have a unit root?," Journal of Econometrics, Elsevier, vol. 54(1-3), pages 159-178.
    4. 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.
    5. Gil-Alana, L. A. & Robinson, P. M., 1997. "Testing of unit root and other nonstationary hypotheses in macroeconomic time series," Journal of Econometrics, Elsevier, vol. 80(2), pages 241-268, October.
    6. Canova, Fabio & Hansen, Bruce E, 1995. "Are Seasonal Patterns Constant over Time? A Test for Seasonal Stability," Journal of Business & Economic Statistics, American Statistical Association, vol. 13(3), pages 237-252, July.
    7. Ghysels, Eric & Lee, Hahn S. & Noh, Jaesum, 1994. "Testing for unit roots in seasonal time series : Some theoretical extensions and a Monte Carlo investigation," Journal of Econometrics, Elsevier, vol. 62(2), pages 415-442, June.
    8. Osborn, Denise R., 1993. "Seasonal cointegration," Journal of Econometrics, Elsevier, vol. 55(1-2), pages 299-303.
    9. Hylleberg, Svend, 1995. "Tests for seasonal unit roots general to specific or specific to general?," Journal of Econometrics, Elsevier, vol. 69(1), pages 5-25, September.
    10. Engle, R. F. & Granger, C. W. J. & Hylleberg, S. & Lee, H. S., 1993. "The Japanese consumption function," Journal of Econometrics, Elsevier, vol. 55(1-2), pages 275-298.
    11. Ray, Bonnie K., 1993. "Long-range forecasting of IBM product revenues using a seasonal fractionally differenced ARMA model," International Journal of Forecasting, Elsevier, vol. 9(2), pages 255-269, August.
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    More about this item

    Keywords

    Fractional integration; nonstationarity; seasonality;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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