A method to select between periodic cointegration and seasonal cointegration

DOI10.1016/0165-1765(93)90102-IzbMath0800.90219OpenAlexW2095367785MaRDI QIDQ1311239

Philip Hans Franses

Publication date: 13 January 1994

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0165-1765(93)90102-i

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic time series analysis (91B84)

Related Items (3)

A vector of quarters representation for bivariate time series ⋮ COINTEGRATION FOR PERIODICALLY INTEGRATED PROCESSES ⋮ Asymptotic analysis of non-periodical cointegration with high seasonals

Cites Work

• Seasonal integration and cointegration
• Seasonal cointegration. The Japanese consumption function (with discussion)

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