Empirical Economics

, Volume 22, Issue 2, pp 205–231

Seasonal cointegration analysis of German consumption function

  • Hans-Eggert Reimers
Article

DOI: 10.1007/BF01205356

Cite this article as:
Reimers, HE. Empirical Economics (1997) 22: 205. doi:10.1007/BF01205356

Abstract

The main purpose of this paper is to investigate the West-German consumption process depending on wealth and income with seasonal cointegration techniques using the framework of vector autoregressive models to capture the seasonal pattern of the series. The vector autoregressive models are the basis of a dynamic analysis by impulse response functions where the asymptotic distributions of the estimators are given. In the empirical part of the paper evidence is found for seasonal and nonseasonal cointegration relations among the variables. The response functions of consumption and income show a strong influence of wealth innovations. Moreover, income and consumption reactions present outstanding seasonal pattern.

Keywords

Seasonal Cointegration Vector Autoregression Consumption Function 

JEL Classification System-Numbers

C22 C32 E21 

Copyright information

© Physica-Verlag 1997

Authors and Affiliations

  • Hans-Eggert Reimers
    • 1
  1. 1.Fachhochschule für Technik, Wirtschaft und GestaltungHochschule WismarWismarGermany