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

Luis Alberiko Gil-Alana () and Peter M. Robinson

Journal of Applied Econometrics, 2001, vol. 16, issue 2, pages 95-114

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.

Date: 2001
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Related works:
Working Paper: Testing of Seasonal Fractional Integration in U.K. and Japanese Consumption and Income (1998)
Working Paper: Testing of Seasonal Fractional Integration in UK and Japanese Consumption and Income (2000)
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