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Testing Fractional Integration with Monthly Data
| Content Provider | Semantic Scholar |
|---|---|
| Author | Gil-Alana, Luis A. |
| Copyright Year | 1999 |
| Abstract | Financial support from ESRC grant number L116251013, Macroeconomic Modelling and Policy Analysis in a Changing Word is gratefully acknowledged. The usual disclaimer applies. 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. |
| File Format | PDF HTM / HTML |
| Alternate Webpage(s) | http://www.lbs.ac.uk/cef/publications/discussion_papers_1999/Dp02-99.pdf |
| Language | English |
| Access Restriction | Open |
| Subject Keyword | Arabic numeral 0 Differintegral Leucaena pulverulenta Monte Carlo method Plant Roots Time series Version |
| Content Type | Text |
| Resource Type | Article |
