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Seasonal adjustment and cointegrating relationships: consumption and income

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  • Steven Cook

Abstract

The cointegrated nature of UK consumption and income is examined using 'official' seasonally adjusted data and data which have been seasonally adjusted using an alternative well-established method. It is found that the presence of cointegrating relationship is dependent upon the method of adjustment used, a result reflecting the warnings of Wallis (Journal of the American Statistical Association, 63, 18-31, 1974). This result has major implications given the plethora of cointegration studies conducted using seasonally adjusted data.

Suggested Citation

  • Steven Cook, 2000. "Seasonal adjustment and cointegrating relationships: consumption and income," Applied Economics Letters, Taylor & Francis Journals, vol. 7(8), pages 549-551.
    • Handle: RePEc:taf:apeclt:v:7:y:2000:i:8:p:549-551
    DOI: 10.1080/13504850050033364
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    References listed on IDEAS

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    1. Granger, C W J & Lee, T H, 1989. "Investigation of Production, Sales and Inventory Relationships Using Multicointegration and Non-symmetric Error Correction Models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 4(S), pages 145-159, Supplemen.
    2. Barsky, Robert B & Miron, Jeffrey A, 1989. "The Seasonal Cycle and the Business Cycle," Journal of Political Economy, University of Chicago Press, vol. 97(3), pages 503-534, June.
    3. Andrew Scott, 1995. "Why is consumption so seasonal?," Economics Working Papers 122, Department of Economics and Business, Universitat Pompeu Fabra.
    4. Heaton, John, 1993. "The Interaction between Time-Nonseparable Preferences and Time Aggregation," Econometrica, Econometric Society, vol. 61(2), pages 353-385, March.
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