Testing of Seasonal Fractional Integration in U.K. and Japanese Consumption and Income
The seasonal structure of quarterly U.K. 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) nd Hylleberg, Engle, Granger and Yoo (HEGY, 1993).
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