Testing of seasonal fractional integration in UK and Japanese consumption and income

Luis Gil-Alana and Peter M. Robinson

LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library

Abstract: The seasonal structure of quarterly UK and Japanese consumption and income is examined by means of fractionally-based tests proposed by Robinson (1994). These series were analysed from an autoregressive unit root viewpoint by Hylleberg, Engle, Granger and Yoo (HEGY, 1990) and Hylleberg, Engle, Granger and Lee (HEGL, 1993). We find that seasonal fractional integration, with amplitudes possibly varying across frequencies, is an alternative plausible way of modelling these series.

Keywords: Fractional integration; nonstationarity; seasonality (search for similar items in EconPapers)
JEL-codes: C22 (search for similar items in EconPapers)
Pages: 32 pages
Date: 2000-11
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Citations: View citations in EconPapers (1)

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http://eprints.lse.ac.uk/2051/ Open access version. (application/pdf)

Related works:
Journal Article: Testing of seasonal fractional integration in UK and Japanese consumption and income (2001)
Working Paper: Testing of seasonal fractional integration in UK and Japanese consumption and income (2001)
Working Paper: Testing of Seasonal Fractional Integration in UK and Japanese Consumption and Income (2000)
Working Paper: Testing of Seasonal Fractional Integration in U.K. and Japanese Consumption and Income (1998)
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