Seasonal Cointegration Analysis of German Consumption Function

EMPIRICAL ECONOMICS, Vol. 22, No. 2, 1997

Posted: 8 Sep 1997


The main purpose of this paper is to investigate the West-German consumption process depending on wealth and income with seasonal cointegration techniques using the framework of vector autoregressive models to capture the seasonal pattern of the series. The vector autoregressive models are the basis of a dynamic analysis by impulse response functions where the asymptotic distributions of the estimators are given. In the empirical part of the paper evidence is found for seasonal and non-seasonal cointegration relations among the variables. The response functions of consumption and income show a strong influence of wealth innovations. Moreover, income and consumption reactions present outstanding seasonal pattern.

JEL Classification: C22, C32, E21

Suggested Citation

Reimers, Hans-Eggert, Seasonal Cointegration Analysis of German Consumption Function. EMPIRICAL ECONOMICS, Vol. 22, No. 2, 1997, Available at SSRN:

Hans-Eggert Reimers (Contact Author)

Hochschule Wismar ( email )

FB Wirtschaft
Philipp-Mueller-Str. PF 1210
23952 Wismar
49-3841-753-601 (Phone)
49-3841-753-383 (Fax)

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