Autori: Gil-Alana, Luis A. , Robinson, P.M.
Titolo: Testing of seasonal fractional integration in U.K. and japanese consumption and income
Periodico: European University Institute of Badia Fiesolana (Fi). Department of Economics - Working papers
Anno: 1998 - Fascicolo: 20 - Pagina iniziale: 1 - Pagina finale: 33

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 analyzed 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.


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