European Business Schools Librarian's Group
SSE/EFI Working Paper Series in Economics and Finance,
Stockholm School of Economics
No 0429: The effects of institutional and technological change and business cycle fluctuations on seasonal patterns in quarterly industrial production series
Dick van Dijk (), Birgit Strikholm () and Timo Teräsvirta ()
Additional contact information
Dick van Dijk: Econometric Institute, Erasmus University Rotterdam, Postal: P.O. Box 1738, NL-3000 DR Rotterdam, The Netherlands
Birgit Strikholm: Dept. of Economic Statistics, Stockholm School of Economics, Postal: P.O. Box 6501, S-113 83 Stockholm, Sweden
Timo Teräsvirta: Dept. of Economic Statistics, Stockholm School of Economics, Postal: P.O. Box 6501, S-113 83 Stockholm, Sweden
Abstract: Changes in the seasonal patterns of macroeconomic time series may be due to the effects of business cycle fluctuations or to technological and institutional change or both. We examine the relative importance of these two sources of change in seasonality for quarterly industrial production series of the G7 countries. We find compelling evidence that the effects of gradual institutional and technological change are much more important than the effects attributable to the business cycle.
Keywords: Nonlinear time series; seasonality; smooth transition autoregression; structural change; time-varying parameter
42 pages, First version: March 7, 2001. Revised: June 1, 2004. Earlier revisions: May 16, 2002, May 16, 2001.
Note: Journal's pdf appears here by permission of the Royal Economic Society. Link to Econometrics Journal website: http://www.res.org.uk/econometrics/econometricshome.asp
Full text files
hastef0429.appendix.pdfAppendix
hastef0429.pdf
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