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Keyword: seasonality;

3 results found.

Econometrics Paper

Testing of Seasonal Fractional Integration in UK and Japanese Consumption and Income

L A Gil-Alaña and Peter M Robinson

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 viewpoi...Read more...

November 2000

Econometrics Paper

Semiparametric Inference in Seasonal and Cyclical Long Memory Processes - (Now published in 'Journal of Time Series Analysis', 21 (2000), pp.1-25.)

Josu Artech and Peter M Robinson

Several semiparametric estimates of the memory parameter in standard long memory time series are now available. They consider only local behaviour of the spectrum near zero frequency, about which the spectrum is symmetri...Read more...

September 1998

Econometrics Paper

Seasonality in Dynamic Regression Models (Now published in Economic Journal 104 (1994), pp.1324-1345.)

Andrew C Harvey and Andrew Scott

This paper examines the implications of treating seasonality as an unobserved component which changes slowly over time. This approach simplifies the specification of dynamic relationships by separating non-seasonal from ...Read more...

1993