Some Aspects of Seasonality in Co-integration Analysis

• Autorzy: Jerzy Romański
• Języki publikacji: EN

Abstrakty

EN

An attempt to apply the relatively simple procedure of eliminating seasonal components is the object of consideration of this article. The procedure consists in periodical smoothing of non-stationary time series observed in monthly cycles. This denotes the application of quarterly, semiannual and annual smoothing, which should lead to a partial or total elimination of seasonal components, while the trend structure of processes analysed was maintained or strengthened. A basic problem here is an answer to the question: "What influence on the inference of integration and cointegration of the analysed economic processes do the periodical smoothing and the alternative elimination of the trend-and-seasonal effects have?" The above issues will be illustrated by an example of monthly observations of selected characteristics of the economic and financial activity of Meat Plant Grudziądz S.A.(fragment of text)

Słowa kluczowe

EN

Cointegration; Seasonal character; Time-series; Econometric analysis

PL

Kointegracja; Sezonowość; Szeregi czasowe; Analiza ekonometryczna

• Czasopismo: Dynamic Econometric Models
• Rocznik: 2004
• Tom: 6
• Strony: 147--157

Twórcy

autor

Jerzy Romański

• Nicolaus Copernicus University in Toruń, Poland

Bibliografia

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