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Common cycles in seasonal non-stationary time series

✍ Scribed by Gianluca Cubadda

Publisher
John Wiley and Sons
Year
1999
Tongue
English
Weight
209 KB
Volume
14
Category
Article
ISSN
0883-7252

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✦ Synopsis

This paper extends the notion of common cycles to quarterly time series having unit roots both at the zero and seasonal frequencies. It is shown that common cycles are present in the Hylleberg±Engle±Granger±Yoo decomposition of these series when there exists a linear combination of their seasonal dierences which follows an MA process of order, at most, three. The pitfalls of seasonal adjustment for common cycles analysis are also documented. Inference on common cycles in seasonally cointegrated series is derived from existing statistical methods for codependence. Concepts and methods are illustrated with an empirical analysis of the comovements between consumption and output using Italian data.

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