TESTING FOR UNIT AND FRACTIONAL ORDERS OF INTEGRATION IN THE TREND AND SEASONAL COMPONENTS OF US MONETARY AGGREGATES

Guglielmo Maria Caporale and Luis Gil-Alana

Economics and Finance Discussion Papers from Economics and Finance Section, School of Social Sciences, Brunel University

Abstract: Monthly seasonally unadjusted data can exhibit roots with possibly fractional orders of integration, corresponding to the monthly but also to the quarterly and to the long-run or trending components of the series. In this paper we use a procedure which is suitable to test simultaneously for the order of integration of each of these components and apply it to several US monetary aggregates.

Pages: 20 pages
Date: 2006-04
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Related works:
Journal Article: Testing for unit and fractional orders of integration in the trend and seasonal components of US monetary aggregates (2008)
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