Persistence and Seasonality in the US Industrial Production Index

Guglielmo Maria Caporale, Luis Gil-Alana, Carlos Poza and Alvaro Baños Izquierdo

No 10756, CESifo Working Paper Series from CESifo

Abstract: This paper uses a seasonal long-memory model to capture the behaviour of the US Industrial Production Index (IPI) over the period 1919Q1-2022Q4. This series is found to display a large value of the periodogram at the zero, long-run frequency, and to exhibit an order of integration around 1. When first differences (of either the original data or their logged values) are taken, evidence of seasonality is obtained; more specifically, deterministic seasonality is rejected in favour of a seasonal fractional integration model with an order of integration equal to 0.14 for the original data and 0.29 for their logged values, which implies the presence of a seasonal long-memory mean reverting pattern.

Keywords: industrial production index; seasonality; persistence; fractional integration (search for similar items in EconPapers)
JEL-codes: C22 E23 E32 (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:ces:ceswps:_10756

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