Encompassing the VAR: A Formalization of Seasonal Encompassing with an Application on a German Macromodel
AbstractIn this paper we apply the encompassing principle to test whether a model that has been estimated with seasonally adjusted data (SA) can encompass a model that is based on non-seasonllay adjusted (NSA) data. Building upon and extending the work på Ericsson, Hendry and Tran (1994) who analyze this question in a single equation framework we will suggest how to test whethet a SA model which is estimated as a system of simultaneous equations can "seasonally encompass" a NSA model. This paper formalizes the test procedure and provides an application to a German macromodel.
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Bibliographic InfoPaper provided by University of Copenhagen. Department of Economics in its series Discussion Papers with number 98-12.
Length: 22 pages
Date of creation: Aug 1998
Date of revision:
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encompassing; seasonality; cointegration; structural vector equilibrium correction model;
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- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
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