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The effects of institutional and technological change and business cycle fluctiations on seasonal patterns in quarterly industrial production series

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  • van Dijk, D.J.C.
  • Strikholm, B.
  • Terasvirta, T.

Abstract

Changes in the seasonal patterns of macroeconomic time series may be due to the effects of business cycle fluctuations or to technological and institutional change or both. We examine the relative importance of these two sources of change in seasonality for industrial production series of the G7 countries. We find compelling evidence that the effects of gradual institutional and technological change are much more important than the effects attributable to the business cycle.

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Bibliographic Info

Paper provided by Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute in its series Econometric Institute Research Papers with number EI 2001-12.

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Date of creation: 30 Mar 2001
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Handle: RePEc:ems:eureir:1676

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Keywords: Nonlinear time series; Seasonality; Smooth transition autoregression; structural change; time-varying parameter;

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  3. Canova, F. & Ghysels, E., 1992. "Changes in Seasonal Patters: Are They Cyclical," Cahiers de recherche 9216, Universite de Montreal, Departement de sciences economiques.
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  8. Ng, S. & Perron, P., 1994. "Unit Root Tests ARMA Models with Data Dependent Methods for the Selection of the Truncation Lag," Cahiers de recherche 9423, Universite de Montreal, Departement de sciences economiques.
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  12. Philip Hans Franses & Timothy J. Vogelsang, 1998. "On Seasonal Cycles, Unit Roots, And Mean Shifts," The Review of Economics and Statistics, MIT Press, vol. 80(2), pages 231-240, May.
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  14. Daniel E. Sichel, 1992. "Inventories and the three phases of the business cycle," Working Paper Series / Economic Activity Section 128, Board of Governors of the Federal Reserve System (U.S.).
  15. Spencer D. Krane & William L. Wascher, 1995. "The cyclical sensitivity of seasonality in U.S. employment," Finance and Economics Discussion Series 95-43, Board of Governors of the Federal Reserve System (U.S.).
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  18. Jeffrey A. Miron, 1990. "The Economics of Seasonal Cycles," NBER Working Papers 3522, National Bureau of Economic Research, Inc.
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