A Formalization of Seasonal Encompassing with an Application to a German Macromodel

Andreas Beyer ()

Journal of Business & Economic Statistics, 2001, vol. 19, issue 3, 315-23

Abstract: In this article, I apply the encompassing principle to test whether a model that has been estimated with seasonally adjusted (SA) data can encompass a model that is based on nonseasonally adjusted (NSA) data. Building on and extending the work of Ericsson, Hendry and Tran, who analyzed this question in a single-equation framework, I shall suggest how to test whether an SA model that is estimated as a system of simultaneous equations can "seasonally encompass" an NSA model. This article formalizes the test procedure and provides an application to a German macromodel.

Date: 2001
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Persistent link: https://EconPapers.repec.org/RePEc:bes:jnlbes:v:19:y:2001:i:3:p:315-23

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