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On the role of seasonal intercepts in seasonal cointegration

Philip Hans Franses and Robert Kunst ()

No EI 9820, Econometric Institute Research Papers from Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute

Abstract: In the paper we consider the role of seasonal intercepts in seasonal cointegration analysis. For the nonseasonal unit root, such intercepts can generate a stochastic trend with a drift common to all observations. For the seasonal unit roots, however, we show that unrestricted seasonal intercepts generate trends that are different across the seasons. Since such seasonal trends may not appear in economic data, we propose a modified empirical method to test for seasonal cointegration. We evaluate our method using Monte Carlo simulations and using a four-dimensional data set of Austrian macroeconomic variables.

Keywords: Monte Carlo simulations; seasonal cointegration analysis; seasonal intercepts (search for similar items in EconPapers)
Date: 1998-01-01
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Citations: View citations in EconPapers (6)

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Related works:
Journal Article: On the Role of Seasonal Intercepts in Seasonal Cointegration (1999) Downloads
Working Paper: On the role of seasonal intercepts in seasonal cointegration (1995) Downloads
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