Tests for seasonal cointegration using principal components

Roselyne Joyeux*

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

9 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 languageEnglish
Pages (from-to)109-118
Number of pages10
JournalJournal of Time Series Analysis
Volume13
Issue number2
DOIs
Publication statusPublished - 1992

Keywords

  • Cointegration
  • error‐correction terms
  • latent root tests
  • seasonal unit roots

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