English, Article edition: Investigating the seasonal structure in the German economy using fractional integration with structural breaks Luis A. Gil-Alana

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Bookmark: http://trove.nla.gov.au/version/8595
Physical Description
  • article
Language
  • English

Edition details

Title
  • Investigating the seasonal structure in the German economy using fractional integration with structural breaks
Author
  • Luis A. Gil-Alana
Physical Description
  • article
Notes
  • Purpose – The purpose of the paper is to examine the seasonal structure in the German monetary aggregate M1 and output by means of fractional integration techniques. Design/​methodology/​approach – The authors use a version of the tests of Robinson that permits testing seasonal I (d) models with the possibility of incorporating seasonal dummy variables and structural breaks. Findings – The results show that there is a strong degree of persistence in their behaviour, especially at the long run or zero frequency, with orders of integration ranging between 1.25 and 1.50. Originality/​value – The main innovation in this work is the use of a new time series approach to the case of seasonality.
  • Germany, Monetary policy, National economy
  • RePEc:eme:sefpps:v:24:y:2007:i:2:p:96-114
Language
  • English
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