Tests for seasonal cointegration using principal components

Roselyne Joyeux

doi:10.1111/j.1467-9892.1992.tb00097.x

Tests for seasonal cointegration using principal components

Roselyne Joyeux^*

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

10 Citations (Scopus)

Abstract

Abstract. Precise definitions of integrations at frequencies other than zero are given. New cointegration tests, which do not present the problems encountered in existing tests, are developed. They are a generalization of the latent root tests developed by Phillips and Ouliaris.

Original language	English
Pages (from-to)	109-118
Number of pages	10
Journal	Journal of Time Series Analysis
Volume	13
Issue number	2
DOIs	https://doi.org/10.1111/j.1467-9892.1992.tb00097.x
Publication status	Published - 1992

Keywords

Cointegration
error‐correction terms
latent root tests
seasonal unit roots

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10.1111/j.1467-9892.1992.tb00097.x

Cite this

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AB - Abstract. Precise definitions of integrations at frequencies other than zero are given. New cointegration tests, which do not present the problems encountered in existing tests, are developed. They are a generalization of the latent root tests developed by Phillips and Ouliaris.

KW - Cointegration

KW - error‐correction terms

KW - latent root tests

KW - seasonal unit roots

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ER -

Tests for seasonal cointegration using principal components

Abstract

Keywords

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