Generalized Fractional Time Series Modelling of the Relationship between Consumption and Income in the UK

Luis Gil-Alana

Applied Econometrics and International Development, 2003, vol. 3, issue 1

Abstract: We propose in this article a general time series model, whose components are modelled in terms of fractionally integrated processes. This specification allows us to consider the trend, the seasonal and the cyclical components as stochastic processes, including the unit root models as particular cases. A very general version of the tests of Robinson (1994) is used to test the order of integration of each component. Finite-sample critical values of the tests are evaluated and, an empirical application, is also carried out at the end of the article.

JEL-codes: C2 O52 (search for similar items in EconPapers)
Date: 2003
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.usc.es/economet/reviews/aeid315.pdf
No

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eaa:aeinde:v:3:y:2003:i:3_5

Ordering information: This journal article can be ordered from
http://www.usc.es/economet/info.htm

Access Statistics for this article

More articles in Applied Econometrics and International Development from Euro-American Association of Economic Development
Bibliographic data for series maintained by M. Carmen Guisan ().