Investigating the seasonal structure in the German economy using fractional integration with structural breaks

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.