A Formalization of Seasonal Encompassing With an Application to a German Macromodel
季节涵盖的形式化及其在德国宏观模型中的应用
In this article, I apply the encompassing principle to test whether a model that has been estimated with seasonally adjusted (SA) data can encompass a model that is based on nonseasonally adjusted (NSA) data. Building on and extending the work of Ericsson, Hendry and Tran, who analyzed this question in a single-equation framework, I shall suggest how to test whether an SA model that is estimated as a system of simultaneous equations can "seasonally encompass" an NSA model.…