On the role of seasonal intercepts in seasonal cointegration

Philip Hans Franses and Robert Kunst ()

No 15, Economics Series from Institute for Advanced Studies

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. This method is illustrated on German consumption and income data.

Keywords: Deterministic and Stochastic Seasonality; Seasonal Cointegration; Cointegration (search for similar items in EconPapers)
JEL-codes: C32 (search for similar items in EconPapers)
Pages: 14 pages
Date: 1995-09
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Citations: View citations in EconPapers (8)

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https://irihs.ihs.ac.at/id/eprint/855 First version, 1995 (application/pdf)

Related works:
Journal Article: On the Role of Seasonal Intercepts in Seasonal Cointegration (1999)
Working Paper: On the role of seasonal intercepts in seasonal cointegration (1998)
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