Testing for cointegration at any frequency using spectral methods

DOI10.1007/BF02589039zbMath1446.62240OpenAlexW2072658750MaRDI QIDQ3598296

Gianluca Cubadda

Publication date: 3 February 2009

Published in: Journal of the Italian Statistical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf02589039

zbMATH Keywords

cointegrationseasonal unit rootsbounds testsmultivariate frequency-domain analysis

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

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Cites Work

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• Seasonal integration and cointegration
• Statistical analysis of cointegration vectors
• Testing for cointegration using principal components methods
• Seasonal cointegration. The Japanese consumption function (with discussion)
• Maximum likelihood inference on cointegration and seasonal cointegration
• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
• TESTS FOR SEASONAL COINTEGRATION USING PRINCIPAL COMPONENTS
• Co-Integration and Error Correction: Representation, Estimation, and Testing

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