Seasonal fractional integration with structural break. An application to the German GNP data

This paper deals with the analysis of the German nominal GNP quarterly data (1973q1 â€“ 1996q4) using a new approach based on seasonal fractional integration that allows us to incorporate a structural break that is endogenously determined by the model. The results show that the break occurs at 1990q2, the time of the German re-unification, and the order of integration is slightly above 1 before the break, and strictly smaller than 1 (though highly persistent) after the unification.

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Year of publication:	2007
Authors:	Gil-Alana, Luis
Published in:	Economics Bulletin. - AccessEcon, ISSN 1545-2921. - Vol. 3.2007, 32, p. 1-6
Publisher:	AccessEcon

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Extent:	application/pdf
Type of publication:	Article
Language:	English
Classification:	C2 - Econometric Methods: Single Equation Models ; C5 - Econometric Modeling
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005094759