IDEAS home Printed from https://ideas.repec.org/p/zbw/sfb373/200016.html
   My bibliography  Save this paper

Modelling seasonality with fractionally integrated processes

Author

Listed:
  • Gil-Alaña, Luis A.

Abstract

We propose in this article the use of a particular version of the tests of Robinson (1994) for testing seasonally fractionally integrated processes. The tests have standard null and local limit distributions and allow us to test unit and fractional seasonal roots even with different amplitudes at different frequencies. A Monte Carlo experiment is conducted to check the power of the tests against different types of fractional alternatives and, an empirical application, using quarterly data for the U.S. total expenditure of several monetary aggregates is also carried out at the end of the article.

Suggested Citation

  • Gil-Alaña, Luis A., 2000. "Modelling seasonality with fractionally integrated processes," SFB 373 Discussion Papers 2000,16, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    • Handle: RePEc:zbw:sfb373:200016
    as

    Download full text from publisher

    File URL: https://www.econstor.eu/bitstream/10419/62244/1/722941994.pdf
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    fractional integration; seasonal unit roots; Monte Carlo simulations;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:zbw:sfb373:200016. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ZBW - Leibniz Information Centre for Economics (email available below). General contact details of provider: https://edirc.repec.org/data/sfhubde.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.