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

Author

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  • Andreas Beyer

    (University of Copenhagen Institute of Economics)

Abstract

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.

Suggested Citation

  • Andreas Beyer, 1998. "Encompassing the VAR: A Formalization of Seasonal Encompassing with an Application on a German Macromodel," Discussion Papers 98-12, University of Copenhagen. Department of Economics.
  • Handle: RePEc:kud:kuiedp:9812
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    More about this item

    Keywords

    encompassing; seasonality; cointegration; structural vector equilibrium correction model;

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection

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