Testing for unit and fractional orders of integration in the trend and seasonal components of US monetary aggregates |
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| Authors: | Guglielmo Maria Caporale Luis A Gil-Alana |
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| Institution: | (1) Centre for Empirical Finance, Brunel University, Uxbridge, Middlesex, UB8 3PH, UK;(2) University of Navarra, Pamplona, Spain |
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| Abstract: | Monthly seasonally unadjusted data can exhibit roots with possibly fractional orders of integration, corresponding to the
monthly but also to the quarterly and to the long-run or trending components of the series. In this paper we use a procedure
which is suitable to test simultaneously for the order of integration of each of these components and apply it to several
US monetary aggregates.
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| Keywords: | Seasonality Long memory Monetary aggregates |
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