Testing of Seasonal Fractional Integration in U.K. and Japanese Consumption and Income

Luis Gil-Alana and Peter Robinson

Economics Working Papers from European University Institute

Abstract: The seasonal structure of quarterly U.K. 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) nd Hylleberg, Engle, Granger and Yoo (HEGY, 1993).

Keywords: ECONOMIC MODELS; SEASONALITY; TESTS (search for similar items in EconPapers)
JEL-codes: C20 C22 (search for similar items in EconPapers)
Pages: 33 pages
Date: 1998
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Citations: View citations in EconPapers (15)

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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 UK and Japanese consumption and income (2000)
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Persistent link: https://EconPapers.repec.org/RePEc:eui:euiwps:eco98/20

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