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Abstract:

Econometrics Paper
Testing of Seasonal Fractional Integration in UK and Japanese Consumption and Income
L A Gil-Alaña and Peter M Robinson
November 2000
Paper No' EM/2000/402:
Full Paper (pdf)

Tags: fractional integration; nonstationarity; seasonality

The seasonal structure of quarterly UK 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) 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.