Analyzing a panel of seasonal time series: Does seasonality in industrial production converge across Europe?
In this paper we consider deterministic seasonal variation in quarterly industrial production for several European countries, and we address the question whether this variation has become more similar across countries over time. Due to economic and institutional factors, one may expect convergence across business cycles. When these have similar characteristics as seasonal cycles, one may perhaps also find convergence in seasonality. To this aim, we propose a method that is based on treating the set of production series as a panel. By testing for the relevant parameter restrictions for moving window samples, we examine the hypothesis of convergence in deterministic seasonality while allowing for seasonal unit roots. Our main empirical finding is that there is no evidence for convergence in seasonality.
|Keywords||convergence, panel, seasonality|
|JEL||Time-Series Models; Dynamic Quantile Regressions (jel C22), Models with Panel Data (jel C33), Measurement of Economic Growth; Aggregate Productivity (jel O47)|
|Persistent URL||dx.doi.org/10.1016/j.econmod.2007.03.006, hdl.handle.net/1765/13362|
|Series||Econometric Institute Reprint Series|
Franses, Ph.H.B.F, & Kunst, R.M. (2007). Analyzing a panel of seasonal time series: Does seasonality in industrial production converge across Europe?. Economic Modelling, 24(6), 954–968. doi:10.1016/j.econmod.2007.03.006