Journal ArticleDOI
The Japanese consumption function
Reads0
Chats0
TLDR
In this paper, an economic interpretation of seasonal cointegration and integration is presented using the notion of a slightly impatient borrowing-constrained utility-maximizing consumer, and the test statistics for non-cointegration occurring at the frequency 1 2 of a cycle have the same distribution as the test statistic obtained for the zero frequency case by Engle and Granger (1987) and Engle, Granger, and Yoo (1987).About:
This article is published in Journal of Econometrics.The article was published on 1993-01-01. It has received 142 citations till now. The article focuses on the topics: Cointegration & Test statistic.read more
Citations
More filters
Journal ArticleDOI
Are Seasonal Patterns Constant Over Time? A Test for Seasonal Stability
Fabio Canova,Bruce E. Hansen +1 more
TL;DR: In this paper, Lagrange multiplier tests of the null hypothesis of no unit roots at seasonal frequencies against the alternative of a unit root at either a single seasonal frequency or a set of seasonal frequencies were introduced.
Journal ArticleDOI
Testing for unit roots in seasonal time series: Some theoretical extensions and a Monte Carlo investigation
TL;DR: In this article, the authors introduce new test statistics, analyze both theoretically and via simulation the properties of Dickey-Fuller-type tests in seasonal time series which have roots at frequencies other than the zero frequency.
Journal ArticleDOI
Tourism forecasting: To combine or not to combine?
TL;DR: In this article, the authors examined the efficiency of combining forecasts based on three different combination methods: autoregressive integrated moving average (ARIMA), error correction model (ECM), and vector auto-regressive (VAR) model.
Journal ArticleDOI
Likelihood analysis of seasonal cointegration
Søren Johansen,Ernst Schaumburg +1 more
TL;DR: In this article, the error correction model for seasonal cointegration is analyzed and conditions are found under which the process is integrated of order 1 and cointegrated at seasonal frequency, and a representation theorem is given.
Posted Content
Testing of Seasonal Fractional Integration in U.K. and Japanese Consumption and Income
TL;DR: In this paper, the seasonal structure of quarterly U.K. and Japanese consumption and income is examined by means of fractionally-based tests proposed by Robinson (1994), and these series were analyzed from an autoregressive unit root viewpoint.
References
More filters
Journal ArticleDOI
Co-integration and Error Correction: Representation, Estimation and Testing
TL;DR: The relationship between co-integration and error correction models, first suggested in Granger (1981), is here extended and used to develop estimation procedures, tests, and empirical examples.
Posted Content
Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence
Robert E. Hall,Robert E. Hall +1 more
TL;DR: In this paper, the marginal utility of consumption evolves according to a random walk with trend, and consumption itself should evolve in the same way, and the evidence supports a modified version of the life cycle permanent income hypothesis.
Journal ArticleDOI
Time series regression with a unit root
TL;DR: In this paper, it is shown that simple least squares regression consistently estimates a unit root under very general conditions in spite of the presence of autocorrelated errors. But, the results of this paper are restricted to the unit root case.
Journal ArticleDOI
Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence
TL;DR: In this article, the authors show that no variable apart from current consumption should be of any value in predicting future consumption, except real disposable income, which has no predictive power for consumption, but rejected for an index of stock prices.
Journal ArticleDOI
Asymptotic Properties of Residual Based Tests for Cointegration
Peter C.B. Phillips,Sam Ouliaris +1 more
TL;DR: In this paper, an asymptotic theory for residual based tests for cointegration is developed and the power properties of the test are also studied, and the tests are consistent if suitably constructed, but the ADF and Z(subscript "t") tests have slower rates of divergence under co-integration.