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

✍ Scribed by L. A. Gil-Alaña; P. M. Robinson

Publisher: John Wiley and Sons
Year: 2001
Tongue: English
Weight: 165 KB
Volume: 16
Category: Article
ISSN: 0883-7252
DOI: 10.1002/jae.597

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✦ Synopsis

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. Copyright © 2001 John Wiley & Sons, Ltd.

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