Sources of seasonal fractional integration in macroeconomic time series ∗

Abstract

Some empirical studies indicate that macroeconomic time series, such as monetary aggregates, inflation, consumption and income are fractionally integrated at the seasonal frequencies. We aim to provide an explanation of this empirical finding. In particular, we show that cross-sectional aggregation or structural changes, which are characteristic features of many macroeconomic time series, may create fractional orders of integration at the seasonal frequencies. Seasonal extensions

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