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Seasonal Cointegration Analysis of German Consumption Function

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  • Reimers, Hans-Eggert

Abstract

The main purpose of this paper is to investigate the West-German consumption process depending on wealth and income with seasonal cointegration techniques using the framework of vector autoregressive models to capture the seasonal pattern of the series. The vector autoregressive models are the basis of a dynamic analysis by impulse response functions where the asymptotic distributions of the estimators are given. In the empirical part of the paper evidence is found for seasonal and nonseasonal cointegration relations among the variables. The response functions of consumption and income show a strong influence of wealth innovations. Moreover, income and consumption reactions present outstanding seasonal pattern.

Suggested Citation

  • Reimers, Hans-Eggert, 1997. "Seasonal Cointegration Analysis of German Consumption Function," Empirical Economics, Springer, vol. 22(2), pages 205-231.
  • Handle: RePEc:spr:empeco:v:22:y:1997:i:2:p:205-31
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    Cited by:

    1. Bohl, Martin T., 2000. "Nonstationary stochastic seasonality and the German M2 money demand function," European Economic Review, Elsevier, vol. 44(1), pages 61-70, January.
    2. Fabio Busetti, 2006. "Tests of seasonal integration and cointegration in multivariate unobserved component models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(4), pages 419-438.
    3. Hassler Uwe, 2001. "Wealth and Consumption. A Multicointegrated Model for the Unified Germany / Vermögen und Konsum. Ein multikointegriertes Modell für das vereinigte Deutschland," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 221(1), pages 32-44, February.

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