On the role of seasonal intercepts in seasonal cointegration

Franses, Philip Hans and Kunst, Robert M. (September 1995) On the role of seasonal intercepts in seasonal cointegration. IHS Economics Series 15

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Abstract: In the paper we consider the role of seasonal intercepts in seasonal cointegration analysis. For the nonseasonal unit root, such intercepts can generate a stochastic trend with a drift common to all observations. For the seasonal unit roots, however, we show that unrestricted seasonal intercepts generate trends that are different across the seasons. Since such seasonal trends may not appear in economic data, we propose a modified empirical method to test for seasonal cointegration. This method is illustrated on German consumption and income data.;

Item Type: IHS Series
Keywords: 'Deterministic and Stochastic Seasonality' 'Seasonal Cointegration' 'Cointegration'
Classification Codes (e.g. JEL): C32
Status: Published
Date Deposited: 26 Sep 2014 10:36
Last Modified: 10 Apr 2016 11:43
URI: http://irihs.ihs.ac.at/id/eprint/855

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