Testing of seasonal fractional integration in UK and Japanese consumption and income
Gil-Alana, L. A. & Robinson, P. M.
(2000).
Testing of seasonal fractional integration in UK and Japanese consumption and income.
(Econometrics; EM/2000/402 EM/00/402).
Suntory and Toyota International Centres for Economics and Related Disciplines.
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.
| Item Type | Working paper |
|---|---|
| Copyright holders | © 2000 the authors |
| Departments |
LSE > Academic Departments > Economics LSE > Research Centres > STICERD |
| Date Deposited | 27 Apr 2007 |
| URI | https://researchonline.lse.ac.uk/id/eprint/2051 |
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