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Seasonal movements are considered to be an important component of many time-series in econometric modeling and forecasting exercises. For most economic and financial variables, seasonal patterns are predominantly stochastic and tend to exhibit strongly persistent correlation structures, thereby suggesting non-stationary behavior. Since Nelson and Plosser (1982), there has been great interest in formally testing for the presence of (fractional) unit roots in economic and financial time series, owing to its statistical and practical implications. Several testing procedures for fractional integration have been proposed in this paper.
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