Saisonale Kointegration und die deutsche Konsumfunktion 1960–1993 / Seasonal Cointegration and the German Consumption Function 1960–1993

Bohl Martin T.
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Bohl Martin T.: Justus-Liebig-Universität Gießen, Professur für Volkswirtschaftslehre II, Licher Str. 74, D-35394 Gießen

Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), 1996, vol. 215, issue 5, 526-541

Abstract: This paper exploits seasonal unit root and cointegration tests to examine West German data on private consumption and disposable income during the period 1960-1993 as well as the subsamples 1960-1973 and 1974-1993. The results indicate that both time series are integrated of order one at the long-run, biannual and annual frequency. Cointegration relationships at these frequencies are found especially in the second subsample. A seasonal error correction model for 1974-1993 describes the behaviour of consumption adequately but does not outperform an error correction model specified on seasonally adjusted time series.

Date: 1996
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Persistent link: https://EconPapers.repec.org/RePEc:jns:jbstat:v:215:y:1996:i:5:p:526-541:n:1003

DOI: 10.1515/jbnst-1996-0503

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