Seasonal Cointegration in Macroeconomic Systems: Case Studies for Small and Large European Countries
使用奥地利、德国、芬兰和英国未经季节调整的宏观数据，发现多数序列更适合用随机季节性和季节单位根模型，并证明四个经济体都存在季节协整和常规协整。
abstract: six-variable vector autoregressive systems consisting of macroeconomic series are investigated. parallel data series for four european countries are used: austria, germany (federal republic), finland, and the united kingdom. all data series are not seasonally adjusted. the aim of the paper is to show that most of the series are better modeled using stochastic seasonality and seasonal unit roots models than simple deterministic models of seasonal structures. as a second step, seasonal cointegration in the systems is studied. it is shown that all four economies display seasonal cointegration as well as usual cointegration.;