Seasonal Misspecification in the Context of Fractionally IntegratedUnivariate Time Series

  • Authors:

  • Luis A. Gil-Alana

  • Affiliations:

  • Universidad de Navarra, Facultad de Ciencias Economicas, Edificio Biblioteca, Entrada Este, E-31080 Pamplona, Spain/ E-mail: alana@unav.es

  • Venue:
  • Computational Economics
  • Year:
  • 2003

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Abstract

We investigate in this article the implications that seasonal misspecificationproduces in the context of fractionally integrated models. We use a versionof the tests of Robinson (1994) that permits us to test both deterministic andstochastic seasonality. Several Monte Carlo experiments are conducted toexamine the power of the tests in the context of seasonal misspecificationand, an empirical application, using data of the U.S. monetary aggregate, isalso carried out at the end of the article.