The role of seasonality in economic time series reinterpreting money-output causality in U.S. data

International Journal of Forecasting

Volumn 13, Issue 3, 1997, Pages 381-391

  Lee, Hahn Shik ^a   Siklos, Pierre L ^b,c  

^a Sogang University   (South Korea)

^b WILFRID LAURIER UNIVERSITY   (Canada)

^c UNIVERSITY OF CALIFORNIA   (United States)

Author keywords

Causality; Error correction model; Seasonal cointegration; Seasonality

Indexed keywords

EID: 0031232278     PISSN: 01692070     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0169-2070(97)00025-3     Document Type: Article

References (34)

1. Barsky, R.B., Miron, J.A., 1989. The seasonal cycle and the business cycle. Journal of Political Economy 97, 503-534.
2. Beaulieu, J.J., Miron, J.A., 1993. Seasonal unit roots in aggregate US data . Journal of Econometrics 55, 305-328.
3. Engle, R.F., Granger, C.W.J., 1987. Cointegration and error correction: Representation, estimation and testing. Econometrica 55, 251-276.
4. Engle, R.F., Granger, C.W.J., Hallman, J.J., 1989. Merging short-run and long-run forecasts: An application of seasonal cointegration to monthly electricity sales forecasting. Journal of Econometrics 40, 45-62.
5. Engle, R.F., Granger, C.W.J., Hylleberg, S., Lee, H.S., 1993. Seasonal cointegration: The Japanese consumption function. Journal of Econometrics 55, 275-298.
6. Engle, R.F., Yoo, B.S., 1987. Forecasting and testing in cointegrated systems. Journal of Econometrics 35, 143-159.
7. Franses, P.H., Hylleberg, S., Lee, H.S., 1995. Spurious deterministic seasonality. Economics Letters 48, 249-256.
8. Franses, P.H., Kunst, R.M., 1995. On the role of seasonal intercepts in seasonal cointegration, unpublished manuscript (Institute for Advanced Studies, Vienna).
9. Friedman, M., Schwartz, A.J., 1963. A Monetary History of United States: 1867-1960. Princeton University Press.
10. Friedman, B.M., Kuttner, K.N., 1992. Money, income, prices, and interest rates. American Economic Review 82, 472-492.
11. Friedman, B.M., Kuttner, K.N., 1993. Another look at the evidence on money-income causality. Journal of Econometrics 57, 189-203.
12. Ghysels, E., 1994. On the economics and econometrics of seasonality. In: Sims, C.A. (Eds.), Advances in Econometrics -Sixth World Congress of the Econometric Society. Cambridge University Press, Cambridge, UK.
13. Ghysels, E., Lee, H.S., Noh, J., 1994. Testing for unit roots in seasonal time series: Some theoretical extensions and a Monte Carlo investigation. Journal of Econometrics 62, 415-442.
14. Ghysels, E., Lee, H.S., Siklos, P.L., 1993. On the (mis)-specification of seasonality and its consequences: An empirical investigation with US data. Empirical Economics 18, 747-760.
15. Ghysels, E., Perron, P., 1993. The effect of seasonal adjustment filters on tests for a unit root. Journal of Econometrics 55, 57-98.
16. Gonzalo, J., Granger, C.W.J., 1995. Estimation of common long-memory components in cointegrated systems. Journal of Business and Economic Statistics 13, 27-35.
17. Granger, C.W.J., Siklos, P.L., 1995. Systematic sampling, temporal aggregation, seasonal adjustment, and cointegration: Theory and evidence. Journal of Econometrics 66, 349-355.
18. Hall, A., 1994. Testing for a unit root in time series with pretest data-based model selection. Journal of Business and Economic Statistics 12, 461-470.
19. Hylleberg, S., Engle, R.F., Granger, C.W.J., Yoo, B.S., 1990. Seasonal integration and cointegration. Journal of Econometrics 44, 215-238.
20. Johansen, S., 1988. Statistical analysis of cointegration vectors. Journal of Economic Dynamics and Control 12, 231-254.
21. Johansen, S., 1991. Estimation and hypothesis testing of cointegration vectors in Gaussian vector autoregressive models. Econometrica 59, 1551-1580.
22. Johansen, S., Juselius, K., 1990. Maximum likelihood estimation and inference on cointegration-With applications to the demand for money. Oxford Bulletin of Economics and Statistics 52, 169-210.
23. Konishi, T., Ramey, V.A., Granger, C.W.J., 1992. Stochastic trends and short-run relationships between financial variables and real activity, unpublished manuscript. Department of Economics, University of California at San Diego.
24. Kydland, F.E., Prescott, E.C., 1990. Business cycles: Real facts and a monetary myth. Federal Reserve Board of Minneapolis Quarterly Review 14, 3-18.
25. Lee, H.S., 1992. Maximum likelihood inference on cointegration and seasonal cointegration. Journal of Econometrics 54, 1-47.
26. Lee, H.S., Siklos, P.L., 1993. The influence of seasonal adjustment on the Canadian consumption function, 1947-1991. Canadian Journal of Economics 26, 575-589.
27. Lee, H.S., Siklos, P.L., 1995. A note on the critical values for the maximum likelihood (seasonal) cointegration tests. Economics Letters 49, 139-146.
28. Miller, P.J., 1990. Comments on 'Business cycles: Real facts and a monetary myth' by Kydland and Prescott. Federal Reserve Board of Minneapolis Quarterly Review 14, 1-2.
29. Nelson, C.R., Plosser, C.I., 1982. Trends and random walks in macroeconomic time series. Journal of Monetary Economics 10, 149-162.
30. Ramey, V., 1992. How important is the credit channel in the transmission of monetary policy?. Carnegie-Rochester Conference Series on Public Policy 39, 1-45.
31. Sims, C.A., 1972. Money, income and causality. American Economic Review 62, 540-552.
32. Sims, C.A., 1980. Comparison of interwar and postwar business cycles: Monetarism reconsidered. American Economic Review 70, 250-257.
33. Stock, J.H., Watson, M.W., 1989. Interpreting the evidence on money-income causality. Journal of Econometrics 40, 161-181.
34. Wheelock, D.C., 1992. Seasonal accommodation and the financial crises of the Great Depression: Did the Fed 'furnish an elastic currency?', . Review of the Federal Reserve Bank of St. Louis 74, 3-18.