Testing fractional integration with monthly data |
| |
Authors: | Luis A Gil-Alana |
| |
Institution: | Centre for Economic Forecasting, London Business School, Sussex Place, Regent’s Park, London NW1 4SA, UK |
| |
Abstract: | Seasonal roots can help to explain the seasonal fluctuations in macroeconomic time series. In this paper we concentrate on monthly data and look at different versions of Robinson’s (1994) tests for testing unit roots and other fractionally integrated hypotheses when the root is located at zero and/or at the seasonal frequencies. A Monte Carlo experiment is carried out to check the power of these tests against different fractional alternatives, and an empirical application, using Spanish monthly data for the consumer price index, is also carried out in the article. |
| |
Keywords: | Seasonal unit roots Fractional integration Monte Carlo simulations |
本文献已被 ScienceDirect 等数据库收录! |
|