Seasonal fractional components in macroeconomic time series

Luis Gil-Alana

Applied Economics, 2004, vol. 36, issue 12, 1265-1279

Abstract: Seasonal fractional models are shown in this article to be alternative credible ways of modelling the seasonal component in macroeconomic time series. A testing procedure that allows one to test different orders of integration at zero and at each of the seasonal frequencies is described. This procedure is then applied to the Italian consumption and income series, the results being very sensitive to the way of modelling the I(0) disturbances.

Date: 2004
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DOI: 10.1080/0003684042000260456

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