Seasonal integration and cointegration

DOI10.1016/0304-4076(90)90080-dzbMath0709.62102OpenAlexW2126610602MaRDI QIDQ106272

R.F. Engle, Svend Hylleberg, B.S. Yoo, C.W.J. Granger, Byung Sam Yoo, Svend Hylleberg, Robert F. Engle, Clive W. J. Granger

Publication date: April 1990

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(90)90080-d

zbMATH Keywords

Monte Carlocointegrationlinear time seriesmultivariate processesCritical valueserror-correction representationsseasonal frequenciestests for roots

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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