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Saisonale Kointegration und die deutsche Konsumfunktion 1960–1993 / Seasonal Cointegration and the German Consumption Function 1960–1993

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  • Bohl Martin T.

    (Justus-Liebig-Universität Gießen, Professur für Volkswirtschaftslehre II, Licher Str. 74, D-35394 Gießen)

Abstract

This paper exploits seasonal unit root and cointegration tests to examine West German data on private consumption and disposable income during the period 1960-1993 as well as the subsamples 1960-1973 and 1974-1993. The results indicate that both time series are integrated of order one at the long-run, biannual and annual frequency. Cointegration relationships at these frequencies are found especially in the second subsample. A seasonal error correction model for 1974-1993 describes the behaviour of consumption adequately but does not outperform an error correction model specified on seasonally adjusted time series.

Suggested Citation

  • Bohl Martin T., 1996. "Saisonale Kointegration und die deutsche Konsumfunktion 1960–1993 / Seasonal Cointegration and the German Consumption Function 1960–1993," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 215(5), pages 526-541.
    • Handle: RePEc:jns:jbstat:v:215:y:1996:i:5:p:526-541:n:1003
    DOI: 10.1515/jbnst-1996-0503
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