Modelling the Seasonal Patterns in Uk Macroeconomic Times Series

Terence C. Mills and Alessandra G. Mills

Journal of the Royal Statistical Society Series A, 1992, vol. 155, issue 1, 61-75

Abstract: This paper examines the seasonal patterns and comovements of quarterly UK macro‐economic time series. The framework used to analyse seasonal fluctuations enables both deterministic and stochastic seasonal factors to be modelled, with these factors being estimated by signal extraction. Tests for both factors are performed and it is found that, although both forms of seasonality are usually present, seasonality is much smaller in prices and interest rates than in output and its components. It is also found that the majority of series contain both seasonal and non‐seasonal unit roots, but that there is no evidence of cointegration at either the zero or seasonal frequencies between output and consumption and between output or prices and money.

Date: 1992
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