Generalized Fractional Time Series Modelling of the Relationship between Consumption and Income in the UK

10 Pages Posted: 17 Aug 2008

See all articles by Luis A. Gil-Alana

Luis A. Gil-Alana

University of Navarra - Department of Economics

Date Written: August 14, 2008

Abstract

We propose in this article a general time series model, whose components are modelled in terms of fractionally integrated processes. This specification allows us to consider the trend, the seasonal and the cyclical components as stochastic processes, including the unit root models as particular cases. A very general version of the tests of Robinson (1994) is used to test the order of integration of each component. Finite-sample critical values of the tests are evaluated and, an empirical application, is also carried out at the end of the article.

Keywords: Time series models, Long memory, Fractional integration, Consumption and Income in the UK

JEL Classification: C2, O52

Suggested Citation

Gil-Alana, Luis A., Generalized Fractional Time Series Modelling of the Relationship between Consumption and Income in the UK (August 14, 2008). Applied Econometrics and International Development, Vol. 3, No. 1, 2003, Available at SSRN: https://ssrn.com/abstract=1225742

Luis A. Gil-Alana (Contact Author)

University of Navarra - Department of Economics ( email )

Campus de Arrosadia
Pamplona, 31006
Spain

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