Abstract

PurposeThe 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/approachThe 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.FindingsThe 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/valueThe main innovation in this work is the use of a new time series approach to the case of seasonality.

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