Seasonal fractional integration with structural break. An application to the German GNP data

Luis Gil-Alana

Economics Bulletin, 2007, vol. 3, issue 32, 1-6

Abstract: This paper deals with the analysis of the German nominal GNP quarterly data (1973q1 – 1996q4) using a new approach based on seasonal fractional integration that allows us to incorporate a structural break that is endogenously determined by the model. The results show that the break occurs at 1990q2, the time of the German re-unification, and the order of integration is slightly above 1 before the break, and strictly smaller than 1 (though highly persistent) after the unification.

JEL-codes: C2 C5 (search for similar items in EconPapers)
Date: 2007-07-24
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