Seasonal cointegration for monthly data

DOI10.1016/j.econlet.2003.09.004zbMath1254.91650OpenAlexW2021204009MaRDI QIDQ1927440

Olivier Darné

Publication date: 1 January 2013

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

Full work available at URL: https://doi.org/10.1016/j.econlet.2003.09.004

zbMATH Keywords

seasonalityseasonal cointegrationmonthly data

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

Cites Work

• Seasonal integration and cointegration
• A note on the critical values for the maximum likelihood (seasonal) cointegration tests
• Statistical analysis of cointegration vectors
• The effect of seasonal adjustment filters on tests for a unit root (with discussion)
• Seasonal cointegration. The Japanese consumption function (with discussion)
• Seasonal unit roots in aggregate U.S. data (with discussion)
• Maximum likelihood inference on cointegration and seasonal cointegration
• Likelihood analysis of seasonal cointegration
• Testing for an unstable root in conditional and structural error correction models
• The Econometric Analysis of Seasonal Time Series
• TESTS FOR SEASONAL COINTEGRATION USING PRINCIPAL COMPONENTS
• A NOTE ON TESTING FOR SEASONAL COINTEGRATION USING PRINCIPAL COMPONENTS IN THE FREQUENCY DOMAIN

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