The presence of seasonal integration in Japanese macro data is tested. The targeted variables are real values and deflators for GDP, consumption, investment, government expenditure, exports, and imports. First, with respect to seasonality, an entirely different conclusion is obtained for the...

The stability of the Japanese money demand function is empirically analysed employing the notion of seasonal cointegration. It is found that money balances, interest rates, and real GDP have unit roots in different cycles. The seasonal cointegration tests reveals that seasonal cointegration is...

This paper performs seasonal integration tests based on stock price indices for the G7 countries. Nonseasonal unit roots were found in all countries. This implies that the (1-B) filter is all that is needed to obtain the stationarity of stock prices, and the inclusion of dummy variables is all...

This paper has two purposes: it introduces the econometric methods used to analyze time series data with general frequency and presents a framework for analyzing economic variables that are measured daily; this special case is then applied to the trading volume of stock markets.