Periodic Cointegration Analysis on the Relationship between the GNP Sectors of the Iran’s Economy

T his paper analyses the relation between GNP sectors of Iran’s economy. The different sectors of the economy directly or indirectly affect each other and can complement or follow each other. Using a number of empirical tests, the paper finds evidence of seasonal or periodic integration in the underlying data. This means that the conventional cointegration tests may not be robust and in result, a more appropriate periodic cointegration test was used. This approach, by recognizing the stochastic nature of the seasonal pattern of the time series involved, avoids inconsistent estimations, errors in statistical inference and also biases in economic policy decisions. Our results find evidence of periodic cointegration between GNP of the industry and service sectors. In addition, we find that the speed of adjustment of misalignments is different depending on the quarter. The adjustment of equilibrium misalignments is faster if they take place in the April-June period than in the rest of the year.

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Keywords: Cointegration ، GNP Sectors ، the Iran’s Economy ، Periodic Behavior ، Time-series Data. JEL Classification: C۲۲ ، C۳۲ ، N۱۵