IDEAS home Printed from https://ideas.repec.org/p/ags/canzdp/263762.html

Periodic Integration & Cointegration: With Applications to the New Zealand Aggregate Consumption Functions

Author

Listed:
  • Harrison, Robin
  • Smith, Aaron

Abstract

This study addresses the theory and application of periodic integration and cointegration. A strategy for testing for periodic integration, originally proposed by Osborn et al. (1988) is further developed and, along with the Vector of Quarters test (Franses (1994)), is applied to aggregate New Zealand consumption and disposable income data. Consumption is found to be possibly periodically integrated while income appears to be seasonally integrated. Where appropriate, the bootstrap technique is used to simulate critical values for these tests. A representation for a bivariate periodic cointegration model, including its associated error correction mechanism, is derived. However, because of limited degrees of freedom, a parsimonious approximation is proposed. This is applied to the New Zealand aggregate consumption function and its results briefly compared to those from a non-periodic cointegration model. Neither model is found to be superior in all respects.

Suggested Citation

  • Harrison, Robin & Smith, Aaron, "undated". "Periodic Integration & Cointegration: With Applications to the New Zealand Aggregate Consumption Functions," Papers 263762, Department of Economics Discussion Papers.
    • Handle: RePEc:ags:canzdp:263762
    DOI: 10.22004/ag.econ.263762
    as

    Download full text from publisher

    File URL: https://ageconsearch.umn.edu/record/263762/files/canterbury-nz-078.pdf
    Download Restriction: no
    File URL: https://ageconsearch.umn.edu/record/263762/files/canterbury-nz-078.pdf?subformat=pdfa
    Download Restriction: no
    File URL: https://libkey.io/10.22004/ag.econ.263762?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    More about this item

    Keywords

    ;

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ags:canzdp:263762. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: AgEcon Search (email available below). General contact details of provider: https://edirc.repec.org/data/decannz.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.