On the Role of Seasonal Intercepts in Seasonal Cointegration
探讨季节截距在季节协整分析中的作用，指出无限制的季节截距会产生跨季节不同的趋势，并提出一种修正的实证方法来检验季节协整，通过蒙特卡洛模拟和奥地利宏观经济数据验证。
In the paper we consider the role of seasonal intercepts in seasonal cointegration analysis. For the nonseasonal unit root, such intercepts can generate a stochastic trend with a drift common to all observations. For the seasonal unit roots, however, we show that unrestricted seasonal intercepts generate trends that are different across the seasons. Since such seasonal trends may not appear in economic data, we propose a modified empirical method to test for seasonal cointegration. We evaluate our method using Monte Carlo simulations and using a four‐dimensional data set of Austrian macroeconomic variables.