COINTEGRATION FOR PERIODICALLY INTEGRATED PROCESSES

DOI10.1017/S0266466608080079MaRDI QIDQ3632374zbMATH OpenOpenAlexFDO

Authors 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

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

Recommendations

• On cointegration for processes integrated at different frequencies
• Cointegration in frequency domain
• Discrete and continuous time cointegration
• Cointegration in functional autoregressive processes
• Time-varying cointegration
• Cointegration in continuous time for factor models
• ESTIMATION OF COINTEGRATING VECTORS WITH TIME SERIES MEASURED AT DIFFERENT PERIODICITY
• On the structure of cointegration

Cites work

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

Cited in

(14)

• Temporal aggregation in a periodically integrated autoregressive process
• Seasonal cointegration. The Japanese consumption function (with discussion)
• The effects of \(I(1)\) series on cointegration inference
• Cointegration in singular ARMA models
• Noncontemporaneous cointegration and the importance of timing
• Asymptotic analysis of non-periodical cointegration with high seasonals
• Periodic and seasonal (co-)integration in the state space framework
• Cointegration in continuous time for factor models
• Non-parametric testing for seasonally and periodically integrated processes
• Estimation of Cointegrated Systems with I(2) Processes
• TESTS FOR SEASONAL COINTEGRATION USING PRINCIPAL COMPONENTS
• Cointegrated Linear Processes in Hilbert Space
• A periodic cointegration model of quarterly consumption
• On the Definitions of (Co-)integration

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