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Common Features In Time Series With Both Deterministic And Stochastic Seasonality

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Author Info
Gianluca Cubadda

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Abstract

This paper extends the notions of common cycles and common seasonal features to time series having deterministic and stochastic seasonality at different frequencies. The conditions under which quarterly time series with these characteristics have common features are investigated, various representations are presented and statistical inference is discussed. Finally, the analysis is applied to study comovements between different components of consumption and income using UK data.

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File URL: http://www.informaworld.com/openurl?genre=article&doi=10.1081/ETC-100103823&magic=repec&7C&7C8674ECAB8BB840C6AD35DC6213A474B5
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Publisher Info
Article provided by Taylor and Francis Journals in its journal Econometric Reviews.

Volume (Year): 20 (2001)
Issue (Month): 2 ()
Pages: 201-216
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Handle: RePEc:taf:emetrv:v:20:y:2001:i:2:p:201-216

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Related research
Keywords: Common features; Seasonality; Codependence; JEL+Classification:+C32> JEL Classification: C32; C52;

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

  1. Vahid, Farshid & Engle, Robert F., 1997. "Codependent cycles," Journal of Econometrics, Elsevier, vol. 80(2), pages 199-221, October. [Downloadable!] (restricted)
  2. Hecq, Alain, 1998. "Does seasonal adjustment induce common cycles?," Economics Letters, Elsevier, vol. 59(3), pages 289-297, June. [Downloadable!] (restricted)
  3. Johansen, Soren & Schaumburg, Ernst, 1998. "Likelihood analysis of seasonal cointegration," Journal of Econometrics, Elsevier, vol. 88(2), pages 301-339, November. [Downloadable!] (restricted)
    Other versions:
  4. Engle, Robert F & Kozicki, Sharon, 1993. "Testing for Common Features," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(4), pages 369-80, October.
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  5. Hylleberg, Svend, 1995. "Tests for seasonal unit roots general to specific or specific to general?," Journal of Econometrics, Elsevier, vol. 69(1), pages 5-25, September. [Downloadable!] (restricted)
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  6. Vahid, F & Engle, Robert F, 1993. "Common Trends and Common Cycles," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 8(4), pages 341-60, Oct.-Dec.. [Downloadable!] (restricted)
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  7. Hylleberg, S. & Engle, R.F. & Granger, C.W.J. & Yoo, B.S., 1988. "Seasonal, Integration And Cointegration," Papers 6-88-2, Pennsylvania State - Department of Economics.
    Other versions:
  8. Engle, Robert F & Hylleberg, Svend, 1996. "Common Seasonal Features: Global Unemployment," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 58(4), pages 615-30, November.
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  9. Jeffrey A. Miron, 1990. "The Economics of Seasonal Cycles," NBER Working Papers 3522, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  10. Kenneth D. West, 1995. "Another Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator," NBER Technical Working Papers 0183, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  11. Engle, R.F. & Granger, C.W.J. & Hylleberg, S. & Lee, H.S., 1990. "Seasonal Cointegration: The Japanese Consumption Function," Economics Working Papers 1990-10, School of Economics and Management, University of Aarhus.
  12. Mankiw, N. Gregory, 1982. "Hall's consumption hypothesis and durable goods," Journal of Monetary Economics, Elsevier, vol. 10(3), pages 417-425. [Downloadable!] (restricted)
  13. Cubadda, Gianluca, 1999. "Common Cycles in Seasonal Non-stationary Time Series," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 14(3), pages 273-91, May-June. [Downloadable!]
  14. Hylleberg, Svend & Jorgensen, Clara & Sorensen, Nils Karl, 1993. "Seasonality in Macroeconomic Time Series," Empirical Economics, Springer, vol. 18(2), pages 321-35.
  15. Canova, Fabio & Hansen, Bruce E, 1995. "Are Seasonal Patterns Constant over Time? A Test for Seasonal Stability," Journal of Business & Economic Statistics, American Statistical Association, vol. 13(3), pages 237-52, July.
  16. Ghysels, Eric & Granger, Clive W J & Siklos, Pierre L, 1996. "Is Seasonal Adjustment a Linear or Nonlinear Data-Filtering Process? Reply," Journal of Business & Economic Statistics, American Statistical Association, vol. 14(3), pages 396-97, July.
  17. Ghysels, Eric & Granger, Clive W J & Siklos, Pierre L, 1996. "Is Seasonal Adjustment a Linear or Nonlinear Data-Filtering Process?," Journal of Business & Economic Statistics, American Statistical Association, vol. 14(3), pages 374-86, July.
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  18. Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-80, November. [Downloadable!] (restricted)
  19. ., ., 1997. "," Journal of Accounting and Economics, Elsevier, vol. 24(2), pages 127-127, December. [Downloadable!] (restricted)
  20. Miron, Jeffrey A, 1986. "Seasonal Fluctuations and the Life Cycle-Permanent Income Model of Consumption," Journal of Political Economy, University of Chicago Press, vol. 94(6), pages 1258-79, December. [Downloadable!] (restricted)
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  21. Lee, Hahn Shik, 1992. "Maximum likelihood inference on cointegration and seasonal cointegration," Journal of Econometrics, Elsevier, vol. 54(1-3), pages 1-47. [Downloadable!] (restricted)
  22. Joseph Beaulieu, J. & Miron, Jeffrey A., 1993. "Seasonal unit roots in aggregate U.S. data," Journal of Econometrics, Elsevier, vol. 55(1-2), pages 305-328. [Downloadable!] (restricted)
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  23. Philip Hans Franses & Robert M. Kunst, 1996. "On the Role of Seasonal Intercepts in Seasonal Cointegration," Tinbergen Institute Discussion Papers 96-175/7, Tinbergen Institute.
    Other versions:
Full references

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Paruolo Paolo, 2003. "Common trends and cycles in I(2) VAR systems," Economics and Quantitative Methods qf0217bis, Department of Economics, University of Insubria. [Downloadable!]
    Other versions:
  2. Paruolo Paolo, 2002. "Testing for common trends in conditional I(2) VAR models," Economics and Quantitative Methods qf0216, Department of Economics, University of Insubria. [Downloadable!]
  3. Evren Erdoğan Coşar, 2006. "Seasonal behaviour of the consumer price index of Turkey," Applied Economics Letters, Taylor and Francis Journals, vol. 13(7), pages 449-455, June. [Downloadable!] (restricted)
  4. Yin-Wong Cheung & Frank Westermann, 2001. "Sectoral Trends and Cycles in Germany," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
    Other versions:
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