The treatment of seasonality in error correction models as unobserved component: a case study for an Austrian consumption function
AbstractThis paper deals with an alternative approach to treating seasonality in error correction models for consumption with a parsimonious parameterization as proposed by Harvey and Scott. We introduce an unobserved seasonal component into an error correction model for Austrian consumer expenditures on nondurables and services and compare the results with different approaches. The use of stochastic seasonal results in a definite improvement of the estimated model.
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Bibliographic InfoArticle provided by Springer in its journal Empirical Economics.
Volume (Year): 26 (2001)
Issue (Month): 2 ()
Note: received: October 1997/Final version received: May 2000
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- C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- D12 - Microeconomics - - Household Behavior - - - Consumer Economics: Empirical Analysis
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- E2 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment
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