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Persistence and Seasonality in the US Industrial Production Index

Author

Listed:
  • Guglielmo Maria Caporale
  • Luis Alberiko Gil-Alana
  • Carlos Poza
  • Alvaro Baños Izquierdo

Abstract

This paper uses a seasonal long-memory model to capture the behaviour of the US Industrial Production Index (IPI) over the period 1919Q1-2022Q4. This series is found to display a large value of the periodogram at the zero, long-run frequency, and to exhibit an order of integration around 1. When first differences (of either the original data or their logged values) are taken, evidence of seasonality is obtained; more specifically, deterministic seasonality is rejected in favour of a seasonal fractional integration model with an order of integration equal to 0.14 for the original data and 0.29 for their logged values, which implies the presence of a seasonal long-memory mean reverting pattern.

Suggested Citation

  • Guglielmo Maria Caporale & Luis Alberiko Gil-Alana & Carlos Poza & Alvaro Baños Izquierdo, 2023. "Persistence and Seasonality in the US Industrial Production Index," CESifo Working Paper Series 10756, CESifo.
    • Handle: RePEc:ces:ceswps:_10756
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    References listed on IDEAS

    as
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    2. Lee, Dongin & Schmidt, Peter, 1996. "On the power of the KPSS test of stationarity against fractionally-integrated alternatives," Journal of Econometrics, Elsevier, vol. 73(1), pages 285-302, July.
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    4. Luis Gil-Alana, 2001. "Seasonal long memory in the US monthly monetary aggregate," Applied Economics Letters, Taylor & Francis Journals, vol. 8(9), pages 573-575.
    5. Josu Arteche, 2007. "The Analysis of Seasonal Long Memory: The Case of Spanish Inflation," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 69(6), pages 749-772, December.
    6. Josu Arteche, 2012. "Standard and seasonal long memory in volatility: an application to Spanish inflation," Empirical Economics, Springer, vol. 42(3), pages 693-712, June.
    7. Candelon, B. & Gil-Alana, L. A., 2004. "Seasonal and long-run fractional integration in the Industrial Production Indexes of some Latin American countries," Journal of Policy Modeling, Elsevier, vol. 26(3), pages 301-313, April.
    8. Gil-Alana, Luis A., 2002. "Seasonal long memory in the aggregate output," Economics Letters, Elsevier, vol. 74(3), pages 333-337, February.
    9. Oluwasegun B. Adekoya, 2020. "Long Memory in the Energy Consumption by Source of the United States: Fractional Integration, Seasonality Effect and Structural Breaks," Estudios de Economia, University of Chile, Department of Economics, vol. 47(1 Year 20), pages 31-48, June.
    10. Luis A. Gil-Alana & Bertrand Candelon, 2004. "Seasonal and Long Run Fractional Integration in the Industrial Production Index of Some Latin Americ," Faculty Working Papers 08/04, School of Economics and Business Administration, University of Navarra.
    11. Elliott, Graham & Rothenberg, Thomas J & Stock, James H, 1996. "Efficient Tests for an Autoregressive Unit Root," Econometrica, Econometric Society, vol. 64(4), pages 813-836, July.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    industrial production index; seasonality; persistence; fractional integration;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • E23 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Production
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

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