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

Andreas Beyer ()

No 98-12, Discussion Papers from University of Copenhagen. Department 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.

Keywords: encompassing; seasonality; cointegration; structural vector equilibrium correction model (search for similar items in EconPapers)
JEL-codes: C32 C51 C52 (search for similar items in EconPapers)
Pages: 22 pages
Date: 1998-08
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Persistent link: https://EconPapers.repec.org/RePEc:kud:kuiedp:9812

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