Testing of Seasonal Fractional Integration in U.K. and Japanese Consumption and Income

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

Economics Working Papers from European University Institute

Abstract: 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).

Keywords: ECONOMIC MODELS; SEASONALITY; TESTS (search for similar items in EconPapers)
JEL-codes: C20 C22 (search for similar items in EconPapers)
Date: 1998
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Related works:
Working Paper: Testing of Seasonal Fractional Integration in UK and Japanese Consumption and Income (2000)
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:eui:euiwps:eco98/20

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