Seasonal fractional components in macroeconomic time series

C-Tier
Journal: Applied Economics
Year: 2004
Volume: 36
Issue: 12
Pages: 1265-1279

Score contribution per author:

1.005 = (α=2.01 / 1 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

Seasonal fractional models are shown in this article to be alternative credible ways of modelling the seasonal component in macroeconomic time series. A testing procedure that allows one to test different orders of integration at zero and at each of the seasonal frequencies is described. This procedure is then applied to the Italian consumption and income series, the results being very sensitive to the way of modelling the I(0) disturbances.

Technical Details

RePEc Handle
repec:taf:applec:v:36:y:2004:i:12:p:1265-1279
Journal Field
General
Author Count
1
Added to Database
2026-01-25