Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/282444 
Year of Publication: 
2023
Series/Report no.: 
CESifo Working Paper No. 10756
Publisher: 
Center for Economic Studies and ifo Institute (CESifo), Munich
Abstract: 
This paper uses a seasonal long-memory model to capture the behaviour of the US Industrial Production Index (IPI) over the period 1919Q1-2022Q4. This series is found to display a large value of the periodogram at the zero, long-run frequency, and to exhibit an order of integration around 1. When first differences (of either the original data or their logged values) are taken, evidence of seasonality is obtained; more specifically, deterministic seasonality is rejected in favour of a seasonal fractional integration model with an order of integration equal to 0.14 for the original data and 0.29 for their logged values, which implies the presence of a seasonal long-memory mean reverting pattern.
Subjects: 
industrial production index
seasonality
persistence
fractional integration
JEL: 
C22
E23
E32
Document Type: 
Working Paper
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