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The effects of institutional and technological change and business cycle fluctuations on seasonal patterns in quarterly industrial production series

  • van Dijk, Dick

    ()

    (Econometric Institute, Erasmus University Rotterdam)

  • Strikholm, Birgit

    ()

    (Dept. of Economic Statistics, Stockholm School of Economics)

  • Teräsvirta, Timo

    ()

    (Dept. of Economic Statistics, Stockholm School of Economics)

Changes in the seasonal patterns of macroeconomic time series may be due to the effects of business cycle fluctuations or to technological and institutional change or both. We examine the relative importance of these two sources of change in seasonality for quarterly industrial production series of the G7 countries. We find compelling evidence that the effects of gradual institutional and technological change are much more important than the effects attributable to the business cycle.

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Paper provided by Stockholm School of Economics in its series SSE/EFI Working Paper Series in Economics and Finance with number 0429.

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Length: 42 pages
Date of creation: 07 Mar 2001
Date of revision: 16 May 2002
Publication status: Published in Econometrics Journal, 2003, pages 79-98.
Handle: RePEc:hhs:hastef:0429
Note: Journal's pdf appears here by permission of the Royal Economic Society. Link to Econometrics Journal website: http://www.res.org.uk/econometrics/econometricshome.asp
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  1. Hylleberg, S. & Engle, R.F. & Granger, C.W.J. & Yoo, B.S., 1988. "Seasonal, Integration And Cointegration," Papers 6-88-2, Pennsylvania State - Department of Economics.
  2. Daniel E. Sichel, 1992. "Inventories and the three phases of the business cycle," Working Paper Series / Economic Activity Section 128, Board of Governors of the Federal Reserve System (U.S.).
  3. Granger, Clive W. J. & Terasvirta, Timo, 1993. "Modelling Non-Linear Economic Relationships," OUP Catalogue, Oxford University Press, number 9780198773207.
  4. Jeffrey A. Miron, 1996. "The Economics of Seasonal Cycles," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262133237, June.
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  7. Miron, Jeffrey A & Beaulieu, J Joseph, 1996. "What Have Macroeconomists Learned about Business Cycles form the Study of Seasonal Cycles?," The Review of Economics and Statistics, MIT Press, vol. 78(1), pages 54-66, February.
  8. Beaulieu, J Joseph & MacKie-Mason, Jeffrey K & Miron, Jeffrey A, 1992. "Why Do Countries and Industries with Large Seasonal Cycles also Have Large Business Cycles?," The Quarterly Journal of Economics, MIT Press, vol. 107(2), pages 621-56, May.
  9. Canova, F. & Ghysels, E., 1992. "Changes in Seasonal Patters: Are They Cyclical," Cahiers de recherche 9216, Universite de Montreal, Departement de sciences economiques.
  10. Hansen, Bruce E, 1996. "Inference When a Nuisance Parameter Is Not Identified under the Null Hypothesis," Econometrica, Econometric Society, vol. 64(2), pages 413-30, March.
  11. David A. Pierce, 1978. "Seasonal adjustment when both deterministic and stochastic seasonality are present," Special Studies Papers 107, Board of Governors of the Federal Reserve System (U.S.).
  12. Lundbergh, Stefan & Terasvirta, Timo & van Dijk, Dick, 2003. "Time-Varying Smooth Transition Autoregressive Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 21(1), pages 104-21, January.
  13. Carpenter, Robert E & Levy, Daniel, 1998. "Seasonal Cycles, Business Cycles, and the Comovement of Inventory Investment and Output," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 30(3), pages 331-46, August.
  14. David A. Pierce, 1978. "Seasonal Adjustment When Both Deterministic and Stochastic Seasonality Are Present," NBER Chapters, in: Seasonal Analysis of Economic Time Series, pages 242-280 National Bureau of Economic Research, Inc.
  15. Philip Hans Franses & Timothy J. Vogelsang, 1998. "On Seasonal Cycles, Unit Roots, And Mean Shifts," The Review of Economics and Statistics, MIT Press, vol. 80(2), pages 231-240, May.
  16. Cecchetti, Stephen G & Kashyap, Anil K & Wilcox, David W, 1997. "Interactions between the Seasonal and Business Cycles in Production and Inventories," American Economic Review, American Economic Association, vol. 87(5), pages 884-92, December.
  17. Canova, Fabio & Hansen, Bruce E, 1995. "Are Seasonal Patterns Constant over Time? A Test for Seasonal Stability," Journal of Business & Economic Statistics, American Statistical Association, vol. 13(3), pages 237-52, July.
  18. Franses, Philip Hans, 1996. "Periodicity and Stochastic Trends in Economic Time Series," OUP Catalogue, Oxford University Press, number 9780198774549.
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