Encompassing the VAR: A Formalization of Seasonal Encompassing with an Application on a German Macromodel
Andreas Beyer · RePEc: Research Papers in Economics · 1998
In this paper we apply the encompassing principle to test whether a model that has been estimated with adjusted data (SA) can a model that is based on non-seasonllay adjusted (NSA) data. Building upon and extending the work pa Ericsson, Hendry and Tran (1994) who analyze this question in a single equation framework we will suggest how to test whethet a SA model which is estimated as a system of simultaneous equations can seasonally encompass a NSA model. This paper formalizes the test procedure and provides an application to a German macromodel.