Seasonality and the Order of Integration for Consumption*

Abstract

Abstract Cointegration has aroused considerable interest in the recent literature of dynamic modelling for economic time series. Nevertheless, despite the importance of seasonal movements as a feature of economic data, seasonality has received relatively little attention in the cointegration analysis. A notable exception to this lack of attention, however, is the paper by Engle et al. (1987). In a companion paper, Birchenhall et al. (1989), we use cointegration as the bases for a dynamic analysis of non-durable consumption in the UK. There we take the view that consumer preferences are seasonal, which implies the equilibrium relationship between consumption and its explanatory variables has a seasonal structure.

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