COINTEGRATION FOR PERIODICALLY INTEGRATED PROCESSES

DOI10.1017/S0266466608080079zbMath1280.62111OpenAlexW2120965324MaRDI QIDQ3632374

Tomás del Barrio Castro, Denise R. Osborn

Publication date: 11 June 2009

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466608080079

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Non-Markovian processes: hypothesis testing (62M07)

Related Items (1)

Periodic and seasonal (co-)integration in the state space framework

Cites Work

• Seasonal integration and cointegration
• Efficient estimation and testing of cointegrating vectors in the presence of deterministic trends
• Seasonal cointegration. The Japanese consumption function (with discussion)
• Maximum likelihood inference on cointegration and seasonal cointegration
• A method to select between periodic cointegration and seasonal cointegration
• Testing for an unstable root in conditional and structural error correction models
• A multivariate approach to modeling univariate seasonal time series
• The implications of periodically varying coefficients for seasonal time- series processes
• Asymptotic Properties of Residual Based Tests for Cointegration
• Multiple Time Series Regression with Integrated Processes
• On trends and constants in periodic autoregressions
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• A periodic cointegration model of quarterly consumption
• A differencing test

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