Confidence intervals for the seasonal fractional differencing parameter in the US monetary aggregate

Luis Gil-Alana

Applied Economics Letters, 2003, vol. 10, issue 2, 103-105

Abstract: Confidence intervals for the seasonal fractional differencing parameter are established in this article for several measures of the US monetary aggregate. They are based on a testing procedure following Robinson and the results indicate that these confidence intervals are in all cases below 1, the seasonal unit roots being rejected in favour of smaller degrees of integration.

Date: 2003
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DOI: 10.1080/1350485022000038540

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