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The Economic Research Institute, Stockholm School of Economics SSE/EFI Working Paper Series in Economics and Finance

No 429:
The effects of institutional and technological change and business cycle fluctuations on seasonal patterns in quarterly industrial production series

Dick van Dijk (), Birgit Strikholm () and Timo Teräsvirta ()

Abstract: Changes in the seasonal patterns of macroeconomic time series may be due to the effects of business cycle fluctuations or to technological and institutional change or both. We examine the relative importance of these two sources of change in seasonality for quarterly industrial production series of the G7 countries. We find compelling evidence that the effects of gradual institutional and technological change are much more important than the effects attributable to the business cycle.

Keywords: Nonlinear time series; seasonality; smooth transition autoregression; structural change; time-varying parameter; (follow links to similar papers)

JEL-Codes: C22; C52; E32; (follow links to similar papers)

42 pages, March 7, 2001, Revised June 1, 2004

Journal's pdf appears here by permission of the Royal Economic Society. Link to Econometrics Journal website: http://www.res.org.uk/econometrics/econometricshome.asp

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This paper is published as:
van Dijk, Dick, Birgit Strikholm and Timo Teräsvirta, (2003), 'The effects of institutional and technological change and business cycle fluctuations on seasonal patterns in quarterly industrial production series', Econometrics Journal, Vol. 6, pages 79-98



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