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The treatment of seasonality in error correction models as unobserved component: a case study for an Austrian consumption function

Author

Listed:
  • Michael Wüger

    (Österreichisches Institut für Wirtschaftsforschung, Postfach 91, A-1103 WIEN, Austria)

  • Gerhard Thury

    (Österreichisches Institut für Wirtschaftsforschung, Postfach 91, A-1103 WIEN, Austria)

Abstract

This paper deals with an alternative approach to treating seasonality in error correction models for consumption with a parsimonious parameterization as proposed by Harvey and Scott. We introduce an unobserved seasonal component into an error correction model for Austrian consumer expenditures on nondurables and services and compare the results with different approaches. The use of stochastic seasonal results in a definite improvement of the estimated model.

Suggested Citation

  • Michael Wüger & Gerhard Thury, 2001. "The treatment of seasonality in error correction models as unobserved component: a case study for an Austrian consumption function," Empirical Economics, Springer, vol. 26(2), pages 325-341.
    • Handle: RePEc:spr:empeco:v:26:y:2001:i:2:p:325-341
    Note: received: October 1997/Final version received: May 2000
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    Citations

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    Cited by:

    1. Thomas URL & Josef BAUMGARTNER & Helmut HOFER & Serguei KANIOVSKI & Andreas U. SCHUH, 2010. "A Long-run Macroeconomic Model of the Austrian Economy (A-LMM)," EcoMod2004 330600143, EcoMod.
    2. Kurt Kratena & Ina Meyer & Michael Wüger, 2009. "Ökonomische, technologische und soziodemographische Einflussfaktoren der Energienachfrage," WIFO Monatsberichte (monthly reports), WIFO, vol. 82(7), pages 525-538, July.
    3. Michael Wüger, 2005. "Konsumnachfrage in Österreich weiterhin verhalten – Zuwächse im Weihnachtsgeschäft," WIFO Monatsberichte (monthly reports), WIFO, vol. 78(12), pages 821-833, December.
    4. Michael Wüger, 2002. "Mäßige Konsumsteigerung – Handel hofft auf gutes Weihnachtsgeschäft," WIFO Monatsberichte (monthly reports), WIFO, vol. 75(12), pages 751-762, December.
    5. Jikun Huang & Jun Zhang & Scott Rozelle, 2013. "The Political Economy of Food Pricing Policy in China," Working Papers id:5317, eSocialSciences.
    6. Jikun Huang & Jun Zhang & Scott Rozelle, 2013. "The Political Economy of Food Pricing Policy in China," Working Papers id:5317, eSocialSciences.

    More about this item

    Keywords

    ECM; Unobserved Components; Seasonality; Consumption;
    All these keywords.

    JEL classification:

    • C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • D12 - Microeconomics - - Household Behavior - - - Consumer Economics: Empirical Analysis
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • E2 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment

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