The effects of institutional and technological change and business cycle fluctuations on seasonal patterns in quarterly industrial production series
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.
|Date of creation:||07 Mar 2001|
|Date of revision:||16 May 2002|
|Publication status:||Published in Econometrics Journal, 2003, pages 79-98.|
|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|
|Contact details of provider:|| Postal: The Economic Research Institute, Stockholm School of Economics, P.O. Box 6501, 113 83 Stockholm, Sweden|
Phone: +46-(0)8-736 90 00
Fax: +46-(0)8-31 01 57
Web page: http://www.hhs.se/
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Ng, S. & Perron, P., 1994.
"Unit Root Tests ARMA Models with Data Dependent Methods for the Selection of the Truncation Lag,"
Cahiers de recherche
9423, Universite de Montreal, Departement de sciences economiques.
- Ng, S. & Perron, P., 1994. "Unit Root Tests ARMA Models with Data Dependent Methods for the Selection of the Truncation Lag," Cahiers de recherche 9423, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- J. Joseph Beaulieu & Jeffrey K. MacKie-Mason & Jeffrey A. Miron, 1992. "Why Do Countries and Industries with Large Seasonal Cycles Also Have Large Business Cycles?," The Quarterly Journal of Economics, Oxford University Press, vol. 107(2), pages 621-656.
- Canova, F. & Ghysels, E., 1992.
"Changes in Seasonal Patters: Are They Cyclical,"
Cahiers de recherche
9216, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Spencer D. Krane & William L. Wascher, 1995.
"The cyclical sensitivity of seasonality in U.S. employment,"
Finance and Economics Discussion Series
95-43, Board of Governors of the Federal Reserve System (U.S.).
- Krane, Spencer & Wascher, William, 1999. "The cyclical sensitivity of seasonality in U.S. employment," Journal of Monetary Economics, Elsevier, vol. 44(3), pages 523-553, December.
- S. Krane & W. Wascher, 1999. "The cyclical sensitivity of seasonality in US employment," BIS Working Papers 67, Bank for International Settlements.
- 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 104-121, January.
- Lundbergh, Stefan & Teräsvirta, Timo & van Dijk, Dick, 2000. "Time-Varying Smooth Transition Autoregressive Models," SSE/EFI Working Paper Series in Economics and Finance 376, Stockholm School of Economics.
- Franses, Philip Hans, 1996. "Periodicity and Stochastic Trends in Economic Time Series," OUP Catalogue, Oxford University Press, number 9780198774549, December.
- Hansen, B.E., 1991.
"Inference when a Nuisance Parameter is Not Identified Under the Null Hypothesis,"
RCER Working Papers
296, University of Rochester - Center for Economic Research (RCER).
- Hansen, Bruce E, 1996. "Inference When a Nuisance Parameter Is Not Identified under the Null Hypothesis," Econometrica, Econometric Society, vol. 64(2), pages 413-430, March.
- 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.).
- Jeffrey A. Miron, 1990.
"The Economics of Seasonal Cycles,"
NBER Working Papers
3522, National Bureau of Economic Research, Inc.
- 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.
- Jeffrey A. Miron & J. Joseph Beaulieu, 1995. "What Have Macroeconomists Learned about Business Cycles from the Study of Seasonal Cycles?," NBER Working Papers 5258, National Bureau of Economic Research, Inc.
- 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.
- 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 237-252, July.
- Hylleberg, S. & Engle, R.F. & Granger, C.W.J. & Yoo, B.S., 1988.
"Seasonal, Integration And Cointegration,"
6-88-2, Pennsylvania State - Department of Economics.
- 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 331-346, August.
- 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 884-892, December.
- Stephen G. Cecchetti & Anil K. Kashyap & David W. Wilcox, 1997. "Interactions between the seasonal and business cycles in production and inventories," Working Paper Series, Macroeconomic Issues WP-97-06, Federal Reserve Bank of Chicago.
- Granger, Clive W. J. & Terasvirta, Timo, 1993. "Modelling Non-Linear Economic Relationships," OUP Catalogue, Oxford University Press, number 9780198773207, December.
- Sichel, Daniel E, 1994. "Inventories and the Three Phases of the Business Cycle," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(3), pages 269-277, July.
- 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.
When requesting a correction, please mention this item's handle: RePEc:hhs:hastef:0429. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Helena Lundin)
If references are entirely missing, you can add them using this form.