Seasonal Misspecification in the Context of Fractionally Integrated Univariate Time Series

Luis Gil-Alana

Computational Economics, 2003, vol. 22, issue 1, 65-74

Abstract: We investigate in this article the implications that seasonal misspecificationproduces in the context of fractionally integrated models. We use a versionof the tests of Robinson (1994) that permits us to test both deterministic andstochastic seasonality. Several Monte Carlo experiments are conducted toexamine the power of the tests in the context of seasonal misspecificationand, an empirical application, using data of the U.S. monetary aggregate, isalso carried out at the end of the article. Copyright Kluwer Academic Publishers 2003

Keywords: fractional integration; seasonality; long memory (search for similar items in EconPapers)
Date: 2003
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DOI: 10.1023/A:1024561209304

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