Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/26034
Authors: 
Caporale, Guglielmo Maria
Cunado, Juncal
Gil-Alana, Luis A.
Year of Publication: 
2007
Series/Report no.: 
CESifo working paper 1989
Abstract: 
This paper considers a general model which allows for both deterministic and stochastic forms of seasonality, including fractional (stationary and nonstationary) orders of integration, and also incorporating endogenously determined structural breaks. Monte Carlo analysis shows that the suggested procedure performs well even in small samples, accurately capturing the seasonal properties of the series, and correctly detecting the break date. As an illustration, the model is estimated for four different US series (output, consumption, imports and exports). The results suggest that the seasonal patterns of these variables have changed over time: specifically, in the second subsample the systematic component of seasonality becomes insignificant, whilst the degree of persistence increases.
JEL: 
C22
Document Type: 
Working Paper

Files in This Item:
File
Size
166.22 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.