Gianluca Cubadda, "Common Cycles in Seasonal Nonstationary Time Series",
Journal of Applied Econometrics, Vol. 14, No. 3, 1999, pp. 273-291.

The file cubadda.zip contains a data file and a program file, both in
ASCII format.

The file gc_data.dat contains four quarterly variables in logarithmic
scale for the period 1970.1 through 1996.1, namely

 Italian real consumption of non-durables and services (c)
 real gross domestic product (y)
 seasonally adjusted real consumption of non-durables and services (c_sa)
 seasonally adjusted real gross domestic product (y_sa)

The data are organized by observation in a space-delimited format.
The source is ISTAT, Conti Economici Trimestrali (1996.2 vintage).

The file gc_gauss.prg is a GAUSS-386i (version 3.1.1) program which was
used in the paper in order to perform seasonal cointegration analysis
by  the  Lee's (1992) method and common cycle analysis by the Tiao and
Tsay's (1989) scalar component model.

I would be interested to hear from anyone who successfully uses this
program, or who finds error in it.

References

Lee, H. S. (1992) "ML inference on Cointegration and Seasonal
Cointegration", Journal of Econometrics, 54, 1-47

Tiao G. C., and R. S. Tsay (1989) "Model Specification in Multivariate
Time Series", JRSS, B, 51, 157-213.

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Gianluca Cubadda, May 1998
Email: cubadda@axrma.uniroma1.it