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Luis Gil-Alana
''Seasonal fractional integration with structural break. An application to the German GNP data''
( 2007, Vol. 3 No.32 )
This paper deals with the analysis of the German nominal GNP quarterly data (1973q1 – 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.
JEL: C2 - Single Equation Models; Single Variables: General
C5 - Econometric Modeling: General
Manuscript Received : Apr 23 2007 Manuscript Accepted : Jul 24 2007

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