The effects of institutional and technological change and business cycle fluctuations on seasonal patterns in quarterly industrial production series

Dick van Dijk, Birgit Strikholm and Timo Teräsvirta

No 429, SSE/EFI Working Paper Series in Economics and Finance from Stockholm School of Economics

Abstract: Changes in the seasonal patterns of macroeconomic time series may be due to the effects of business cycle fluctuations or to technological and institutional change or both. We examine the relative importance of these two sources of change in seasonality for quarterly industrial production series of the G7 countries. We find compelling evidence that the effects of gradual institutional and technological change are much more important than the effects attributable to the business cycle.

Keywords: Nonlinear time series; seasonality; smooth transition autoregression; structural change; time-varying parameter (search for similar items in EconPapers)
JEL-codes: C22 C52 E32 (search for similar items in EconPapers)
Pages: 42 pages
Date: 2001-03-07, Revised 2004-06-01
New Economics Papers: this item is included in nep-dge and nep-tid
Note: Journal's pdf appears here by permission of the Royal Economic Society. Link to Econometrics Journal website: http://www.res.org.uk/econometrics/econometricshome.asp
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Citations: View citations in EconPapers (1)

Published in Econometrics Journal, 2003, pages 79-98.

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Related works:
Journal Article: The effects of institutional and technological change and business cycle fluctuations on seasonal patterns in quarterly industrial production series (2003)
Working Paper: The effects of institutional and technological change and business cycle fluctiations on seasonal patterns in quarterly industrial production series (2001)
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