haku: @indexterm Vector autoregression models / yhteensä: 14
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| Tekijä: | Reimers, H-E. |
| Otsikko: | Seasonal cointegration analysis of German consumption function |
| Lehti: | Empirical Economics
1997 : VOL. 22:2, p. 205-231 |
| Asiasana: | CONSUMPTION INCOMES WEALTH VECTOR AUTOREGRESSION MODELS GERMANY |
| Kieli: | eng |
| Tiivistelmä: | This study investigates the links among wealth, income, and consumption using the seasonal cointegration approach of Lee (1992), who proposes a maximum-likelihood procedure to determine the seasonal and nonseasonal cointegration vectors. If the cointegration vectors are selected a seasonal error correction model may be calculated. the model is used to get autoregressive representation which is a basis of a dynamic analysis by impulse response functions to get interpretable representations of the results. Conducting this analysis for German data evidence is found that the variables are seasonally and nonseasonally cointegrated. |
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