Generalized Fractional Time Series Modelling of the Relationship between Consumption and Income in the UK
10 Pages Posted: 17 Aug 2008
Date Written: August 14, 2008
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: Suggested Citation