TESTING FOR UNIT AND FRACTIONAL ORDERS OF INTEGRATION IN THE TREND AND SEASONAL COMPONENTS OF US MONETARY AGGREGATES

Monthly seasonally unadjusted data can exhibit roots with possibly fractional orders of integration, corresponding to the monthly but also to the quarterly and to the long-run or trending components of the series. In this paper we use a procedure which is suitable to test simultaneously for the order of integration of each of these components and apply it to several US monetary aggregates.

MoreLess

Year of publication:	2006-04
Authors:	Caporale, Guglielmo Maria ; Gil-Alana, Luis A.
Institutions:	Economics and Finance Section, School of Social Sciences, Brunel University

More details

Extent:	application/pdf
Series:	Economics and Finance Discussion Papers.
Type of publication:	Book / Working Paper
Notes:	20 pages
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005169820