References
- Box , G. E. P. and Jenkins , G. M. 1970 . Time Series Analysis, Forecasting and Control , San Francisco , CA : Holden-Day .
- Dickey , D. A. , Hasza , D. P. and Fuller , W. A. 1984 . Testing for unit roots in seasonal time series . Journal of the American Statistical Association , 79 : 355 – 367 .
- Gil-Alana , L. A. 1999 . Testing fractional integration with monthly data . Economic Modelling , 16 : 613 – 629 .
- Gil-Alana , L. A. 2000a . Mean reversion in the real exchange rates . Economics Letters , forthcoming in
- Gil-Alana , L. A. and Robinson , P. M. 1997 . Testing of unit roots and other nonstationary hypotheses in macroeconomic time series . Journal of Econometrics , 80 : 241 – 268 .
- Gil-Alana , L. A. and Robinson , P. M. 2000 . Testing of seasonal fractional integration for the US and Japanese consumption and income . Journal of Applied Econometrics , forthcoming in
- Hassler , U. 1994 . Misspecification of long memory seasonal time series . Journal of Time Series Analysis , 15 : 19 – 30 .
- Hasza , D. P. and Fuller , W. A. 1982 . Testing for nonstationary parameter specifications in seasonal time series models . Annals of Statistics , 10 : 1209 – 1216 .
- Hosoya , Y. 1997 . A limit theory for long-range dependence and statistical inference on related models . Annals of Statistics , 25 : 105 – 137 .
- Hylleberg , S. , Engle , R. F. , Granger , C. W. J. and Yoo , B. S. 1990 . Seasonal integration and cointation . Journal of Econometrics , 44 : 215 – 238 .
- Ooms , M. 1997 . Flexible seasonal long memory and economic time series Preprint
- Porter-Hudak , S. 1990 . An application of the seasonal fractionally differenced model to the monetary aggregate . Journal of the American Statistical Association , 85 : 338 – 344 .
- Robinson , P. M. 1994 . Efficient tests of nonstationary hypotheses . Journal of the American Statistical Association , 89 : 1420 – 1437 .