A periodic cointegration model is proposed to describe quarterly observed consumption. This model allows the cointegrating vectors and the adjustment parameters to vary with the seasons. Its links are discussed with an often considered standard economic theoretical model for macroeconomic variables like consumption. A simple empirical model specification strategy is given and applied to Austrian consumption and income data.

doi.org/10.1002/asm.3150110206, hdl.handle.net/1765/2089
Applied Stochastic Models and Data Analysis
Erasmus School of Economics

Franses, P. H., & Kloek, T. (1995). A periodic cointegration model of quarterly consumption. Applied Stochastic Models and Data Analysis, 159–166. doi:10.1002/asm.3150110206