Business cycles, seasonal cycles, and common trends

Journal of Macroeconomics

Volumn 19, Issue 3, 1997, Pages 443-469

  Wells, John M ^a  

^a AUBURN UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0040516703     PISSN: 01640704     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0164-0704(97)00023-2     Document Type: Article

References (50)

1. Barsky, Robert B., and Jeffrey A. Miron. "The Seasonal Cycle and the Business Cycle." Journal of Political Economy 97 (1989): 503-34.
2. Beaudry, Paul, and Gary Koop. "Do Recessions Permanently Change Output?" Journal of Monetary Economics 31 (1993): 149-63.
3. Beaulieu, J. Joseph, and Jeffrey A. Miron. "Seasonal Unit Roots in Aggregate U.S. Data." Journal of Econometrics 55 (1993): 305-28.
4. _. "A Cross Country Comparison of Seasonal Cycles and Business Cycles." Economic Journal 102 (July 1992): 772-88.
5. Beaulieu, J. Joseph, Jeffrey K. MacKie-Mason, and Jeffrey A. Miron. "Why do Countries with Large Seasonal Cycles also Have Large Business Cycles?" Quarterly Journal of Economics (May 1992): 621-56.
6. Bradley, Michael D., and Dennis W. Jansen. "Unit Roots and Infrequent Large Shocks: New International Evidence on Output Growth." Journal of Money, Credit, and Banking 27 (August 1995): 876-93.
7. Braun, R. Anton, and Charles L. Evans. "Seasonal Solow Residuals and Christmas: A Case for Labor Hoarding and Increasing Returns." University of Virginia Discussion Paper #227, August 1991.
8. Brock, William A., and Leonard J. Mirman, "Optimal Economic Growth and Uncertainty: The Discounted Case." Journal of Economic Theory 4 (1972): 479-513.
9. Canova, Fabio, and Eric Ghysels, "Changes in Seasonal Patterns: Are They Cyclical?" Journal of Economic Dynamics and Control 18 (1994): 1143-71.
10. Canova, Fabio, and Bruce E. Hansen. "Are Seasonal Patterns Constant Over Time? A Test for Seasonal Stability." Journal of Business and Economic Statistics 13 (1995): 237-53.
11. Dickey, David A., and Wayne A. Fuller. "Distribution of the Estimators for Autoregressive Time Series with a Unit Root." Journal of the American Statistical Association 74 (1979): 427-31.
12. Dickey, David A., H. P. Hasza, and Wayne A. Fuller. "Testing for Unit Roots in Seasonal Time Series." Journal of the American Statistical Association 79 (1984): 355-67. (Reprinted in Hylleberg 1992.)
13. Engle, Robert F., and Clive W. J. Granger. "Cointegration and Error Correction: Representation, Estimation and Testing." Econometrica 55 (1987): 251-76.
14. Engle, Robert F., Clive W. J. Granger, Svend Hylleberg and Hahn S. Lee. "Seasonal Cointegration: The Japanese Consumption Function." Journal of Econometrics 55 (1993): 275-98.
15. Engle, Robert F., and Byung S. Yoo. "Forecasting and Testing in Cointegrated Systems." Journal of Econometrics 35 (1987): 143-59.
16. Franses, Philip H. "A Multivariate Approach to Modeling Univariate Seasonal Time Series." Journal of Econometrics 63 (1994): 133-51.
17. Ghysels, Eric. "On Seasonal Asymmetries and Their Implications for Stochastic and Deterministic Models of Seasonality." University of Montreal, C.R.D.E. Discussion Paper, 1990a.
18. _. "Unit Root Tests and the Statistical Pitfalls of Seasonal Adjustment: The Case of U.S. Postwar Real GNP." Journal of Business and Economic Statistics 8 (1990b): 145-52.
19. Ghysels, Eric, Clive W. J. Granger, and Pierre L. Siklos. "Is Seasonal Adjustment a Linear or Nonlinear Data Filtering Process?" CIRANO Working Paper #95s-19, Montreal, 1995.
20. Ghysels, Eric, Hahn S. Lee, and Pierre L. Siklos. "On the (Mis)Specification of Seasonality and Its Consequences: An Empirical Investigation with U.S. Data." Empirical Economics 18 (1993): 742-60.
21. Ghysels, Eric, and Pierre Perron. "The Effect of Seasonal Adjustment Filters on Tests for a Unit Root." Journal of Econometrics 55 (1993): 57-98.
22. Grossman, Gene M., and Elhanan Helpman. Innovations and Growth. Cambridge, MA: MIT Press, 1990.
23. Hylleberg, Svend. Seasonality in Regression. Orlando: Academic Press, 1986.
24. Hylleberg, Svend, ed. Modeling Seasonality. New York: Oxford University Press, 1992.
25. Hylleberg, Svend, Robert F. Engle, Clive W. J. Granger, and Byung S. Yoo. "Seasonal Integration and Cointegration." Journal of Econometrics 44 (1990): 215-38. (Reprinted in Hylleberg 1992).
26. Hylleberg, Svend, Clara Jorgensen, and Nils K. Sorensen. "Seasonality in Macroeconomic Time Series." Empirical Economics 18 (1993): 321-35.
27. Jaeger, Albert, and Robert M. Kunst. "Seasonal Adjustment and Measuring Persistence in Output." Journal of Applied Econometrics 5 (1990): 47-58.
28. Johansen, Soren. "Statistical Analysis of Cointegration Vectors." Journal of Economic Dynamics and Control 12 (1988): 309-42.
29. Johansen, Soren, and Katarina Juselius. "The Full Information Maximum Likelihood Procedure for Inferences on Cointegration-with Applications." Institute of Mathematical Statistics Reprint #4, University of Copenhagen, 1989.
30. King, Robert G., Charles I. Plosser, James H. Stock, and Mark W. Watson. "Stochastic Trends and Economic Fluctuations." American Economic Review 81 (1991): 819-40.
31. Kunst, Robert M. "Seasonal Cointegration in Macroeconomic Systems: Case Studies for Small and Large European Countries." Review of Economics and Statistics (1993): 325-30.
32. Kunst, Robert M., and Klaus Neusser. "Cointegration in a Macroeconomic System." Journal of Applied Econometrics 5 (1990): 351-65.
33. Lee, Hahn S., and Pierre L. Siklos. "Unit Roots and Seasonal Unit Roots in Macroeconomic Time Series: Canadian Evidence." Economics Letters 35 (1991): 273-77.
34. _. "Seasonality in Time Series: Money-Income Causality in the U.S. Data Revisited." University of California at San Diego Working Paper, 1992.
35. Mullineux, Andy W., and David G. Dickinson. "Equilibrium Business Cycles: Theory and Evidence." Journal of Economic Surveys 6 (1992): 321-58.
36. Nankervis, Jeffrey C., and N. E. Savin. "Finite Sample Distributions of t- and F-Statistics in an AR(1) Model with an Exogenous Variable." Econometric Theory 3 (1987): 387-408.
37. Nelson, Charles R., and Charles I. Plosser. "Trends and Random Walks in Macroeconomic Time Series: Some Evidence and Implications."Journal of Monetary Economics 10 (1982): 139-62.
38. Neusser, Klaus. "Testing the Long-Run Implications of the Neoclassical Growth Model." Journal of Monetary Economics 27 (1991): 3-37.
39. Osborn, Denise R. "A Survey of Seasonality in U.K. Macroeconomic Variables." International Journal of Forecasting 6 (1990): 327-36.
40. _. "Discussion of Seasonal Cointegration." Journal of Econometrics 55 (1993): 299-303.
41. Osborn, Denise R., A. P. L. Chui, Jeremy P. Smith, and Chris R. Birchenhall. "Seasonality and the Order of Integration for Consumption." Oxford Bulletin of Economics and Statistics 50 (1988): 361-77. (Reprinted in Hylleberg 1992).
42. Perron, Pierre. "The Great Crash, the Oil Price Shock and the Unit Root Hypothesis." Econometrica 56 (1989): 1361-401.
43. Phillips, Peter C. B., and Pierre Perron. "Testing for a Unit Root in Time Series Regression." Biometrika 75 (1988): 235-346.
44. Pierce, David A. "Seasonal Adjustment when both Deterministic and Stochastic Seasonality are Present." In Seasonal Analysis of Economic Time Series, edited by Arnold Zellner 242-69. Washington, D.C.: U.S. Dept. of Commerce, Bureau of the Census, 1978.
45. Schwert, G. William. "Effects of Model Specification on Tests for Unit Roots in Macroeconomic Data." Journal of Monetary Economics 20 (1987): 73-103.
46. Stock, James H., and Mark W. Watson. "Testing for Common Trends." Journal of the American Statistical Association 83 (1988): 1097-1107.
47. Vahid, Farshid, and Robert F. Engle. "Common Trends and Common Cycles." Journal of Applied Econometrics 8 (1993): 341-60.
48. Wallis, Kenneth F. "Seasonal Adjustment and the Relations between Variables." Journal of the American Statistical Association 69 (1974): 18-31.
49. Wells, John M. "Seasonal Adjustment and Nonstationarity in Economic Time Series." Auburn University 1992. Mimeo.
50. _. "Modelling Seasonal Patterns and Long-Run Trends in U.S. Time Series." Forthcoming, International Journal of Forecasting, 1996.