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

Testing of seasonal fractional integration in UK and Japanese consumption and income 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. Copyright © 2001 John Wiley & Sons, Ltd. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Journal of Applied Econometrics Wiley

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

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References (36)

Publisher
Wiley
Copyright
Copyright © 2001 John Wiley & Sons, Ltd.
ISSN
0883-7252
eISSN
1099-1255
DOI
10.1002/jae.597
Publisher site
See Article on Publisher Site

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. Copyright © 2001 John Wiley & Sons, Ltd.

Journal

Journal of Applied EconometricsWiley

Published: Mar 1, 2001

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