Long Lags or Season Mis-Specification? A Note on Cointegration Testing and the Consumption Function

Writing in Applied Economics Letters, Sumner (2004) advocates use of long lag lengths when conducting cointegration tests. Replication of Sumner’s consumption model suggests long lag lengths are a mis-specification: The true underlying model is periodic. We test for periodically distributed unit roots – unit roots that differ with the season and vary with past behaviour....

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Year of publication:	2007
Authors:	Albertson, Kevin ; Aylen, Jonathan
Institutions:	Manchester Business School
Subject:	Ökonometrie \| econometrics \| Kointegration \| Periodizität \| periodicity \| Saisonale Komponente \| seasonality

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Extent:	377856 bytes 13 p. application/pdf
Series:	Manchester Business School - Research - Working Papers No. 522 (2007)
Type of publication:	Book / Working Paper
Language:	English
Classification:	Operations research. Other aspects ; Individual Working Papers, Preprints ; United Kingdom ; USA
Source:	USB Cologne (business full texts)

Persistent link: https://www.econbiz.de/10005870373