A Formalization of Seasonal Encompassing With an Application to a German Macromodel
提出一个形式化检验，判断基于季节调整数据的模型是否能包含基于未调整数据的模型，并将该方法应用于德国宏观模型。
AbstractIn this article, I apply the encompassing principle to test whether a model that has been estimated with seasonally adjusted (SA) data can encompass a model that is based on nonseasonally adjusted (NSA) data. Building on and extending the work of Ericsson, Hendry and Tran, who analyzed this question in a single-equation framework, I shall suggest how to test whether an SA model that is estimated as a system of simultaneous equations can “seasonally encompass” an NSA model. This article formalizes the test procedure and provides an application to a German macromodel.KEY WORDS: CointegrationEncompassingSeasonalityStructural vector equilibrium correction model