The effects of institutional and technological change and business cycle fluctuations on seasonal patterns in quarterly industrial production series
AbstractChanges 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 quarterly 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 InfoPaper provided by Stockholm School of Economics in its series Working Paper Series in Economics and Finance with number 0429.
Length: 42 pages
Date of creation: 07 Mar 2001
Date of revision: 16 May 2002
Publication status: Published in Econometrics Journal, 2003, pages 79-98.
Note: Journal's pdf appears here by permission of the Royal Economic Society. Link to Econometrics Journal website: http://www.res.org.uk/econometrics/econometricshome.asp
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Nonlinear time series; seasonality; smooth transition autoregression; structural change; time-varying parameter;
Other versions of this item:
- Dick van Dijk 1 & Birgit Strikholm & Timo Ter�svirta, 2003. "The effects of institutional and technological change and business cycle fluctuations on seasonal patterns in quarterly industrial production series," Econometrics Journal, Royal Economic Society, vol. 6(1), pages 79-98, 06.
- van Dijk, D.J.C. & Strikholm, B. & Terasvirta, T., 2001. "The effects of institutional and technological change and business cycle fluctiations on seasonal patterns in quarterly industrial production series," Econometric Institute Research Papers EI 2001-12, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
This paper has been announced in the following NEP Reports:
- NEP-ALL-2001-03-13 (All new papers)
- NEP-DGE-2001-03-13 (Dynamic General Equilibrium)
- NEP-TID-2001-03-13 (Technology & Industrial Dynamics)
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