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

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).

MoreLess

Year of publication:	1998
Authors:	Gil-Alana, L. ; Robinson, P.M.
Institutions:	Department of Economics, European University Institute
Subject:	ECONOMIC MODELS \| SEASONALITY \| TESTS

More details

Series:	Economics Working Papers.
Type of publication:	Book / Working Paper
Notes:	33 pages
Classification:	C20 - Econometric Methods: Single Equation Models. General ; C22 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005697754