Arbeitspapier
Modelling seasonality with fractionally integrated processes
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.
- Sprache
-
Englisch
- Erschienen in
-
Series: SFB 373 Discussion Paper ; No. 2000,16
- Klassifikation
-
Wirtschaft
Hypothesis Testing: General
Statistical Simulation Methods: General
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- Thema
-
fractional integration
seasonal unit roots
Monte Carlo simulations
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Gil-Alaña, Luis A.
- Ereignis
-
Veröffentlichung
- (wer)
-
Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
- (wo)
-
Berlin
- (wann)
-
2000
- Handle
- URN
-
urn:nbn:de:kobv:11-10047201
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Gil-Alaña, Luis A.
- Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
Entstanden
- 2000
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