Testing of Seasonal Fractional Integration in UK and Japanese Consumption and Income

L A Gil-Alaña and Peter M. Robinson

STICERD - Econometrics Paper Series from Suntory and Toyota International Centres for Economics and Related Disciplines, LSE

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.

Keywords: Fractional integration; nonstationarity; seasonality (search for similar items in EconPapers)
Date: 2000-11
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Related works:
Working Paper: Testing of Seasonal Fractional Integration in U.K. and Japanese Consumption and Income (1998)
Journal Article: Testing of seasonal fractional integration in UK and Japanese consumption and income (2001)
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Persistent link: http://EconPapers.repec.org/RePEc:cep:stiecm:/2000/402

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