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Encompassing the VAR: A Formalization of Seasonal Encompassing with an Application on a German Macromodel

Listed author(s):
  • Andreas Beyer

    (University of Copenhagen Institute of Economics)

In this paper we apply the encompassing principle to test whether a model that has been estimated with seasonally adjusted data (SA) can encompass a model that is based on non-seasonllay adjusted (NSA) data. Building upon and extending the work på Ericsson, Hendry and Tran (1994) who analyze this question in a single equation framework we will suggest how to test whethet a SA model which is estimated as a system of simultaneous equations can "seasonally encompass" a NSA model. This paper formalizes the test procedure and provides an application to a German macromodel.

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Paper provided by University of Copenhagen. Department of Economics in its series Discussion Papers with number 98-12.

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Length: 22 pages
Date of creation: Aug 1998
Handle: RePEc:kud:kuiedp:9812
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