COMMON FEATURES IN TIME SERIES WITH BOTH DETERMINISTIC AND STOCHASTIC SEASONALITY
将共同周期和共同季节性特征的概念扩展到不同频率上同时具有确定性和随机性季节性的时间序列，研究其条件、表示和统计推断，并用英国数据分析了消费与收入各成分之间的协同运动。
This paper extends the notions of common cycles and common seasonal features to time series having deterministic and stochastic seasonality at different frequencies. The conditions under which quarterly time series with these characteristics have common features are investigated, various representations are presented and statistical inference is discussed. Finally, the analysis is applied to study comovements between different components of consumption and income using UK data. 1 1. INTRODUCTION An important advance in the analysis of comovements among economic time series is the concept of common cycles (Vahid and Engle, 1993; 1997). This notion is complementary to cointegration since it focuses on common transitory components in the multivariate Beveridge-Nelson (henceforth BN, 1981) decomposition of difference-stationary variables. Examples of reasoning from economic theory which were elucidated by the common cycles analysis include the excess sensitivity of consumption to curren...