Abstract
This paper analyzes the nature of seasonal fluctuations in quarterly observations for Austrian consumption and income data. We begin with univariate tests of the order of integration and then move on to tests of cointegration. Seasonally adjusted as well as raw data are used in these tests. in univariate tests, the outcome for seasonally adjusted and raw data is in line. The unit roots at the zero frequency found in the seasonally adjusted series are also present in the raw data. In bivariate tests, the results for seasonally adjusted and raw data differ. While we find cointegration at the zero frequency between consumption and income for seasonally adjusted series, this hypothesis is generally rejected for the raw data.
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Han, L., Thury, G. Testing for seasonal integration and cointegration: The Austrian consumption income relationship. Empirical Economics 22, 331–344 (1997). https://doi.org/10.1007/BF01208827
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DOI: https://doi.org/10.1007/BF01208827