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Testing for Seasonal Integration and Cointegration: The Austrian Consumption Income Relationship

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  • Han, Liyan
  • Thury, Gerhard

Abstract

This paper analyzes the nature of seasonal fluctuations in quarterly observations for Austrian consumption and income data. We begin with univariate tests of the order of integration and then move on to tests of cointegration. Seasonally adjusted as well as raw data are used in these tests. In univariate tests, the outcome for seasonally adjusted and raw data is in line. The unit roots at the zero frequency found in the seasonally adjusted series are also present in the raw data. In bivariate tests, the results for seasonally adjusted and raw data differ. While we find cointegration at the zero frequency between consumption and income for seasonally adjusted series, this hypothesis is generally rejected for the raw data.

Suggested Citation

  • Han, Liyan & Thury, Gerhard, 1997. "Testing for Seasonal Integration and Cointegration: The Austrian Consumption Income Relationship," Empirical Economics, Springer, vol. 22(3), pages 331-344.
    • Handle: RePEc:spr:empeco:v:22:y:1997:i:3:p:331-44
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    Cited by:

    1. Chudy, R.P. & Hagler, R.W., 2020. "Dynamics of global roundwood prices – Cointegration analysis," Forest Policy and Economics, Elsevier, vol. 115(C).
    2. Sheng-Hung Chen & Song-Zan Chiou-Wei & Zhen Zhu, 2022. "Stochastic seasonality in commodity prices: the case of US natural gas," Empirical Economics, Springer, vol. 62(5), pages 2263-2284, May.

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