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.
|Number of pages||10|
|Journal||Journal of Time Series Analysis|
|Publication status||Published - 1992|
- error‐correction terms
- latent root tests
- seasonal unit roots