The Effects Of Institutional And Technological Change And Business Cycle Fluctuations On Seasonal Patterns In Quarterly Industrial Production Series  

Oleh:

Dijk, Dick Van ; Strikholm, Birgit ; Terasvirta, Timo

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Econometrics Journal vol. 6 no. 1 (Jun. 2003), page 79-98.
Topik: Nonlinear time series; Seasonality; Smooth transition autoregression; Structural change; Time-varying parameter.
Fulltext: 79.pdf (876.97KB)

Isi artikel

Changes in the seasonal patterns of macroeconomic time series may be due to the effects of business cycle fluctuations or to technological and institutional change or both. We examine the relative importance of these two sources of change in seasonality for quarterly industrial production series of the G7 countries using time-varying smooth transition autoregressive models. We find compelling evidence that the effects of gradual institutional and technological change are much more important than the effects attributable to the business cycle.

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