COMMON FEATURES IN TIME SERIES WITH BOTH DETERMINISTIC AND STOCHASTIC SEASONALITY

Gianluca Cubadda

Econometric Reviews, 2001, vol. 20, issue 2, 201-216

Abstract: This paper extends the notions of common cycles and common seasonal features to time series having deterministic and stochastic seasonality at different frequencies. The conditions under which quarterly time series with these characteristics have common features are investigated, various representations are presented and statistical inference is discussed. Finally, the analysis is applied to study comovements between different components of consumption and income using UK data.

Keywords: Common features; Seasonality; Codependence; JEL Classification : C32; C52 (search for similar items in EconPapers)
Date: 2001
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Citations: View citations in EconPapers (8)

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DOI: 10.1081/ETC-100103823

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