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Seasonal Co-integration An Extension of the Johansen and Schaumburg Approach with an Exclusion Test

  • Ozlem Tasseven

    ()

    (Okan University, Banking and Finance Department, Istanbul Turkey)

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    In this paper, the Johansen and Schaumburg method for seasonal cointegration has been tried to be applied for testing an a priori hypothesized cointegrating money demand variable space. We aim to provide a comprehensive discussion of the significance of the variables in the long-run context as stationary relationships for both zero and bi-annual frequencies. For this purpose, several restrictions have been used to impose for identification purposes of the relevant vectors. We also touch upon the possibility that most time series data have been subject to the stochastic seasonality as opposed to the general acceptance in empirical papers. Our results employing data from the Turkish economy show that it is not possible to estimate only a single theory-accepted money demand relationship in the long-run variable space for both zero and bi-annual frequences, but we are able to identify different vectors somewhat consistent with theoretical arguments for the annual frequency.

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    File URL: http://www.panoeconomicus.rs/casopis/first/pan_%20seasonal%20cointegration.pdf
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    Article provided by Savez ekonomista Vojvodine, Novi Sad, Serbia in its journal Panoeconomicus.

    Volume (Year): 56 (2009)
    Issue (Month): 1 (March)
    Pages: 39-53

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    Handle: RePEc:voj:journl:v:56:y:2009:i:1:p:39-53
    Contact details of provider: Web page: http://www.panoeconomicus.rs/

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    1. Franses, Philip Hans & Kunst, Robert M, 1999. " On the Role of Seasonal Intercepts in Seasonal Cointegration," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 61(3), pages 409-33, August.
    2. Cubadda, Gianluca & Omtzigt, Pieter, 2003. "Small Sample Improvements in the Statistical Analysis of Seasonally Cointegrated Systems," Economics & Statistics Discussion Papers esdp03012, University of Molise, Dept. EGSeI.
    3. Lof, Marten & Lyhagen, Johan, 2002. "Forecasting performance of seasonal cointegration models," International Journal of Forecasting, Elsevier, vol. 18(1), pages 31-44.
    4. Gokhan Yilmaz, 2005. "Financial Dollarization, (De)Dollarization and The Turkish Experience," Working Papers 2005/6, Turkish Economic Association.
    5. Cubadda, Gianluca, 2001. " Complex Reduced Rank Models for Seasonally Cointegrated Time Series," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 63(4), pages 497-511, September.
    6. Kunst, Robert M, 1993. "Seasonal Cointegration, Common Seasonals, and Forecasting Seasonal Series," Empirical Economics, Springer, vol. 18(4), pages 761-76.
    7. Jeffrey A. Miron, 1996. "The Economics of Seasonal Cycles," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262133237, June.
    8. Alberto Giovannini & Bart Turtelboom, 1992. "Currency Substitution," NBER Working Papers 4232, National Bureau of Economic Research, Inc.
    9. Engle, R. F. & Granger, C. W. J. & Hylleberg, S. & Lee, H. S., 1993. "The Japanese consumption function," Journal of Econometrics, Elsevier, vol. 55(1-2), pages 275-298.
    10. Ermini, Luigi & Chang, Dongkoo, 1996. "Testing the joint hypothesis of rationality and neutrality under seasonal cointegration: The case of Korea," Journal of Econometrics, Elsevier, vol. 74(2), pages 363-386, October.
    11. Irfan Civcir, 2003. "Money demand, financial liberalization and currency substitution in Turkey," Journal of Economic Studies, Emerald Group Publishing, vol. 30(5), pages 514-534, October.
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