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Modelling Seasonality in the Australian Consumption Function
Author(s) -
Moosa Imad A.,
Kennedy Pauline
Publication year - 1998
Publication title -
australian economic papers
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.351
H-Index - 15
eISSN - 1467-8454
pISSN - 0004-900X
DOI - 10.1111/1467-8454.00008
Subject(s) - seasonality , econometrics , explanatory power , consumption (sociology) , economics , function (biology) , mathematics , stochastic modelling , consumption function , statistics , macroeconomics , physics , social science , sociology , biology , quantum mechanics , fiscal policy , evolutionary biology
This paper puts forward the proposition that failure to take account of stochastic seasonality results in dynamic misspecification. This point is illustrated by estimating various versions of a simple Australian consumpt ion function using seasonally unadjusted data covering the period 1959(3)–1993(3). It is demonstrated that only the equation modelling stochastic seasonality as an unobserved component shows no dynamic misspecification unlike other equations. This equation is also shown to have the highest explanatory power and, unlike other equations, to be structurally stable