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A periodic cointegration model of quarterly consumption

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  • Philip Hans Franses
  • Teun Kloek

Abstract

A periódic cointegration model is proposed to describe quarterly observed consumption. This model allows the cointegrating vectors and the adjustment parameters to vary with the seasons. Its links are discussed with an often considered standard economic theoretical model for macroeconomic variables like consumption. A simple empirical model specification strategy is given and applied to Austrian consumption and income data.

Suggested Citation

  • Philip Hans Franses & Teun Kloek, 1995. "A periodic cointegration model of quarterly consumption," Applied Stochastic Models and Data Analysis, John Wiley & Sons, vol. 11(2), pages 159-166, June.
    • Handle: RePEc:wly:apsmda:v:11:y:1995:i:2:p:159-166
    DOI: 10.1002/asm.3150110206
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    Cited by:

    1. del Barrio Castro, Tomás & Osborn, Denise R., 2008. "Cointegration For Periodically Integrated Processes," Econometric Theory, Cambridge University Press, vol. 24(1), pages 109-142, February.
    2. Herwartz, Helmut, 1997. "Performance of periodic error correction models in forecasting consumption data," International Journal of Forecasting, Elsevier, vol. 13(3), pages 421-431, September.
    3. Albertson, Kevin & Aylen, Jonathan, 1999. "Forecasting using a periodic transfer function: with an application to the UK price of ferrous scrap," International Journal of Forecasting, Elsevier, vol. 15(4), pages 409-419, October.

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