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The treatment of seasonality in error correction models as unobserved component: a case study for an Austrian consumption function

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Author Info

  • Michael Wüger

    ()
    (Österreichisches Institut für Wirtschaftsforschung, Postfach 91, A-1103 WIEN, Austria)

  • Gerhard Thury

    ()
    (Österreichisches Institut für Wirtschaftsforschung, Postfach 91, A-1103 WIEN, Austria)

Abstract

This 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 Info

Article provided by Springer in its journal Empirical Economics.

Volume (Year): 26 (2001)
Issue (Month): 2 ()
Pages: 325-341

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Handle: RePEc:spr:empeco:v:26:y:2001:i:2:p:325-341

Note: received: October 1997/Final version received: May 2000
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Related research

Keywords: ECM; Unobserved Components; Seasonality; Consumption;

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Cited by:
  1. Huang, Jikun & Yang, Jun & Rozelle, Scott, 2013. "The political economy of food pricing policy in China," Working Paper Series UNU-WIDER Research Paper , World Institute for Development Economic Research (UNU-WIDER).
  2. Kurt Kratena & Ina Meyer & Michael Wüger, 2009. "Economic, Technological and Socio-demographic Factors of Energy Demand," WIFO Working Papers 339, WIFO.

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