A NOTE ON TESTING FOR SEASONAL COINTEGRATION USING PRINCIPAL COMPONENTS IN THE FREQUENCY DOMAIN

DOI10.1111/j.1467-9892.1995.tb00250.xzbMath0960.62536OpenAlexW2015168402MaRDI QIDQ4854214

Gianluca Cubadda

Publication date: 17 May 2001

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1995.tb00250.x

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

Related Items (1)

Seasonal cointegration for monthly data

Cites Work

• Seasonal integration and cointegration
• Testing for cointegration using principal components methods
• Seasonal cointegration. The Japanese consumption function (with discussion)
• Maximum likelihood inference on cointegration and seasonal cointegration
• Estimation of partially nonstationary vector autoregressive models with seasonal behavior

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