Seasonal Cointegration in Macroeconomic Systems: Case Studies for Small and Large European Countries
Robert Kunst ()
The Review of Economics and Statistics, 1993, vol. 75, issue 2, 325-30
Stochastic seasonality in vector autoregressions draws attention to seasonal cointegrating vectors. Based upon the assumption of stochastic seasonality, seasonal cointegration is found in a six-dimensional vector autogregression of quarterly macroeconomic series which were not seasonally adjusted. The same experiment is performed on parallel data from four European economies: Austria, Finland, Germany, and the United Kingdom. Univariate and multivariate statistical evidence supports stochastic seasonality in Finland and Germany, whereas deterministic cycles dominate in Austria and the United Kingdom. Eventual correspondences of seasonal structures across countries are also analyzed. Copyright 1993 by MIT Press.
References: Add references at CitEc
Citations: View citations in EconPapers (9) Track citations by RSS feed
Downloads: (external link)
http://links.jstor.org/sici?sici=0034-6535%2819930 ... 0.CO%3B2-W&origin=bc full text (application/pdf)
Access to full text is restricted to JSTOR subscribers. See http://www.jstor.org for details.
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:tpr:restat:v:75:y:1993:i:2:p:325-30
Ordering information: This journal article can be ordered from
https://mitpressjour ... rnal/?issn=0034-6535
Access Statistics for this article
The Review of Economics and Statistics is currently edited by Pierre Azoulay, Olivier Coibion, Will Dobbie, Raymond Fisman, Benjamin R. Handel, Brian A. Jacob, Kareen Rozen, Xiaoxia Shi, Tavneet Suri and Yi Xu
More articles in The Review of Economics and Statistics from MIT Press
Bibliographic data for series maintained by Kelly McDougall ().