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Erscheinungsjahr: 
2023
Schriftenreihe/Nr.: 
CESifo Working Paper No. 10756
Verlag: 
Center for Economic Studies and ifo Institute (CESifo), Munich
Zusammenfassung: 
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.
Schlagwörter: 
industrial production index
seasonality
persistence
fractional integration
JEL: 
C22
E23
E32
Dokumentart: 
Working Paper
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