Investigating the seasonal structure in the German economy using fractional integration with structural breaks

Luis A. Gil‐Alana

Studies in Economics and Finance, 2007, vol. 24, issue 2, 96-114

Abstract: Purpose - The purpose of the paper is to examine the seasonal structure in the German monetary aggregateM1 and output by means of fractional integration techniques. Design/methodology/approach - The authors use a version of the tests of Robinson that permits testing seasonal I (d) models with the possibility of incorporating seasonal dummy variables and structural breaks. Findings - The results show that there is a strong degree of persistence in their behaviour, especially at the long run or zero frequency, with orders of integration ranging between 1.25 and 1.50. Originality/value - The main innovation in this work is the use of a new time series approach to the case of seasonality.

Keywords: Germany; National economy; Monetary policy (search for similar items in EconPapers)
Date: 2007
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Persistent link: https://EconPapers.repec.org/RePEc:eme:sefpps:v:24:y:2007:i:2:p:96-114

DOI: 10.1108/10867370710756165

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