On the role of seasonal intercepts in seasonal cointegration

Arbeitspapier

In the paper we consider the role of seasonal intercepts in seasonal cointegration analysis. For the nonseasonal unit root, such intercepts can generate a stochastic trend with a drift common to all observations. For the seasonal unit roots, however, we show that unrestricted seasonal intercepts generate trends that are different across the seasons. Since such seasonal trends may not appear in economic data, we propose a modified empirical method to test for seasonal cointegration. This method is illustrated on German consumption and income data.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Reihe Ökonomie / Economics Series ; No. 15

Classification and Topics

• Classification: Wirtschaft ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
• Subject: deterministic and stochastic seasonality ; seasonal cointegration ; cointegration ; Zeitreihenanalyse ; Theorie ; Saisonschwankung

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Franses, Philip Hans ; Kunst, Robert M.
• Event: Veröffentlichung
• (who): Institute for Advanced Studies (IHS)
• (where): Vienna
• (when): 1995

Further information

• Handle: http://hdl.handle.net/10419/68637
• Last update: 10.03.2025, 11:44 AM CET