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Seasonal Cointegration in Macroeconomic Systems: Case Studies for Small and Large European Countries

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  • Kunst, Robert M

Abstract

Stochastic seasonality in vector autoregressions draws attention to seasonal cointegrating vectors. Based upon the assumption of stochastic seasonality, seasonal cointegration is found in a six-dimensional vector autogregression of quarterly macroeconomic series which were not seasonally adjusted. The same experiment is performed on parallel data from four European economies: Austria, Finland, Germany, and the United Kingdom. Univariate and multivariate statistical evidence supports stochastic seasonality in Finland and Germany, whereas deterministic cycles dominate in Austria and the United Kingdom. Eventual correspondences of seasonal structures across countries are also analyzed. Copyright 1993 by MIT Press.

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Bibliographic Info

Article provided by MIT Press in its journal Review of Economics & Statistics.

Volume (Year): 75 (1993)
Issue (Month): 2 (May)
Pages: 325-30

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Handle: RePEc:tpr:restat:v:75:y:1993:i:2:p:325-30

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Web page: http://mitpress.mit.edu/journals/

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Web: http://mitpress.mit.edu/journal-home.tcl?issn=00346535

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Cited by:
  1. Lof, Marten & Lyhagen, Johan, 2002. "Forecasting performance of seasonal cointegration models," International Journal of Forecasting, Elsevier, vol. 18(1), pages 31-44.
  2. Reimers, Hans-Eggert, 1997. "Forecasting of seasonal cointegrated processes," International Journal of Forecasting, Elsevier, vol. 13(3), pages 369-380, September.
  3. Franses, Philip Hans & Kunst, Robert M, 1999. " On the Role of Seasonal Intercepts in Seasonal Cointegration," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 61(3), pages 409-33, August.
  4. Gil-Alana, L.A., 2008. "Testing of seasonal integration and cointegration with fractionally integrated techniques: An application to the Danish labour demand," Economic Modelling, Elsevier, vol. 25(2), pages 326-339, March.
  5. Ermini, Luigi & Chang, Dongkoo, 1996. "Testing the joint hypothesis of rationality and neutrality under seasonal cointegration: The case of Korea," Journal of Econometrics, Elsevier, vol. 74(2), pages 363-386, October.
  6. Huang, Tai-Hsin & Shen, Chung-Hua, 2002. "Seasonal cointegration and cross-equation restrictions on a forward-looking buffer stock model of money demand," Journal of Econometrics, Elsevier, vol. 111(1), pages 11-46, November.

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