Nonstationary Time Series Analysis and Cointegration

By Colin P. Hargreaves | Go to book overview

6
Modelling seasonal variation

Svend Hylleberg*

The realisation among econometricians and applied economists that seasonal variation in many economic time series is often larger and less regular than often hitherto acknowledged, has led to an increased interest in seriously modelling seasonality. The relative size of the seasonal variation also means that such modelling is of major economic interest.

In the last few years important developments in modelling seasonality have occurred. The use of model based procedures and periodic models, the extension of integration and cointegration to the seasonal frequencies and the development of economic theories of seasonality are some of the most promising areas of research. However, the procedures applied by the official data-producing agencies have not been affected. In this paper we discuss the implications of these developments on the treatment of seasonality within the data-producing agencies.


1. INTRODUCTION

Modelling seasonal variations has recently been subject to a number of studies of both econometricians and economics theorists. A major cause for this development is the realization that the seasonal components account for the major part of the variations in many economic time series, that the seasonal variation is far from regular but varying and changing, and that economic considerations are playing an important part in the analysis. Hence, the attitude of many economists expressed in the following quotation by Jevons is yielding at last. Jevons ( 1862, p. 4) wrote

____________________
*
Financial support from the U.K. Economic and Social Research Council under grant R000233447 is gratefully acknowledged by both authors. We are indebted to Neil Ericsson for helpful comments.

-153-

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Nonstationary Time Series Analysis and Cointegration
Table of contents

Table of contents

  • Title Page iii
  • Contents v
  • List of Figures vii
  • List of Tables xiii
  • List of Contributors xv
  • Foreword xvii
  • 1 - Introduction 1
  • References 8
  • 2 - Towards a Theory of Economic Forecasting 9
  • Appendix 48
  • References 50
  • 3 - Bayes Models and Forecasts of Australian Macroeconomic Time Series 53
  • References 86
  • 4 - A Review of Methods of Estimating Cointegrating Relationships 87
  • References 129
  • 5 - A Test of the Null Hypothesis of Cointegration 133
  • References 151
  • 6 - Modelling Seasonal Variation 153
  • References 176
  • 7 - Cointegration, Seasonality, Encompassing, and the Demand for Money in the Uk 179
  • Appendix A. the Data 214
  • Appendix B. Sequential Reduction Analysis 216
  • References 220
  • 8 - Evaluating a Real Business Cycle Model 225
  • Appendix 252
  • References 254
  • 9 - Misspecification Versus Bubbles in the Cagan Hyperinflation Model 257
  • References 281
  • 10 Regime Switching with Time-Varying Transition Probabilities 283
  • Appendix 299
  • References 302
  • Name Index 303
  • Subject Index 307
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