Template-Type: ReDIF-Paper 1.0
Author-Name: Franses, Ph.H.B.F.
Author-Name-Last: Franses
Author-Name-First: Philip Hans
Author-Person: pfr226
Author-Name: Kunst, R.M.
Author-Name-Last: Kunst
Author-Name-First: Robert
Title: On the role of seasonal intercepts in seasonal cointegration
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.
Creation-Date: 1998-01-01
File-URL: https://repub.eur.nl/pub/1552/feweco19980702144354.pdf
File-Format: application/pdf
Series: RePEc:ems:eureir
Number: EI 9820
Keywords: Monte Carlo simulations, seasonal cointegration analysis, seasonal intercepts
Handle: RePEc:ems:eureir:1552