Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/62244
Authors: 
Gil-Alaña, Luis A.
Year of Publication: 
2000
Series/Report no.: 
Discussion Papers, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes 2000,16
Abstract: 
We propose in this article the use of a particular version of the tests of Robinson (1994) for testing seasonally fractionally integrated processes. The tests have standard null and local limit distributions and allow us to test unit and fractional seasonal roots even with different amplitudes at different frequencies. A Monte Carlo experiment is conducted to check the power of the tests against different types of fractional alternatives and, an empirical application, using quarterly data for the U.S. total expenditure of several monetary aggregates is also carried out at the end of the article.
Subjects: 
fractional integration
seasonal unit roots
Monte Carlo simulations
JEL: 
C12
C15
C22
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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