The treatment of seasonality in error correction models as unobserved component: a case study for an Austrian consumption function

Michael Wüger () and Gerhard Thury ()
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Michael Wüger: Österreichisches Institut für Wirtschaftsforschung, Postfach 91, A-1103 WIEN, Austria
Gerhard Thury: Österreichisches Institut für Wirtschaftsforschung, Postfach 91, A-1103 WIEN, Austria
Authors registered in the RePEc Author Service: Michael Wueger

Empirical Economics, 2001, vol. 26, issue 2, pages 325-341

Abstract: This paper deals with an alternative approach to treating seasonality in error correction models for consumption with a parsimonious parameterization as proposed by Harvey and Scott. We introduce an unobserved seasonal component into an error correction model for Austrian consumer expenditures on nondurables and services and compare the results with different approaches. The use of stochastic seasonal results in a definite improvement of the estimated model.

Keywords: ECM; Unobserved Components; Seasonality; Consumption (search for similar items in EconPapers)
JEL-codes: C2 C22 D12 C51 C52 E2 (search for similar items in EconPapers)
Date: 2001-05-21
Note: received: October 1997/Final version received: May 2000
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