Seasonal cointegration. The Japanese consumption function (with discussion)

DOI10.1016/0304-4076(93)90016-XzbMath0761.62164OpenAlexW2061073588MaRDI QIDQ1203077

Svend Hylleberg, Clive W. J. Granger, Robert F. Engle, Hahn S. Lee

Publication date: 4 February 1993

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(93)90016-x

zbMATH Keywords

Monte Carlo simulationspowercritical valuesconsumptionincometwo-step procedureseasonal cointegration

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20)

Related Items (33)

Forecasting performance of seasonal-dummy models relative to some alternatives ⋮ Estimation of partially nonstationary vector autoregressive models with seasonal behavior ⋮ A multivariate approach to modeling univariate seasonal time series ⋮ Systematic sampling, temporal aggregation, seasonal adjustment, and cointegration. Theory and evidence ⋮ Tests for seasonal unit roots. General to specific or specific to general? ⋮ Deterministic seasonality versus seasonal fractional integration ⋮ Bayesian analysis of seasonal unit roots and seasonal mean shifts ⋮ Does seasonal adjustment induce common cycles? ⋮ Seasonal cointegration for monthly data ⋮ On cointegration for processes integrated at different frequencies ⋮ Structural breaks and seasonal integration ⋮ A vector of quarters representation for bivariate time series ⋮ A NOTE ON TESTING FOR SEASONAL COINTEGRATION USING PRINCIPAL COMPONENTS IN THE FREQUENCY DOMAIN ⋮ Fully modified semiparametric GLS estimation for regressions with nonstationary seasonal regressors ⋮ Alternative estimators and unit root tests for seasonal autoregressive processes ⋮ Time-varying lag cointegration ⋮ Spurious deterministic seasonality ⋮ Seasonal cointegration. The Japanese consumption function (with discussion) ⋮ Seasonal unit roots in aggregate U.S. data (with discussion) ⋮ Maximum likelihood inference on cointegration and seasonal cointegration ⋮ FULLY MODIFIED ESTIMATION OF SEASONALLY COINTEGRATED PROCESSES ⋮ A SCORE TEST FOR SEASONAL FRACTIONAL INTEGRATION AND COINTEGRATION ⋮ THE BEHAVIOR OF HEGY TESTS FOR QUARTERLY TIME SERIES WITH SEASONAL MEAN SHIFTS ⋮ Testing for cointegration at any frequency using spectral methods ⋮ COMMON FEATURES IN TIME SERIES WITH BOTH DETERMINISTIC AND STOCHASTIC SEASONALITY ⋮ COINTEGRATION FOR PERIODICALLY INTEGRATED PROCESSES ⋮ REGRESSION-BASED SEASONAL UNIT ROOT TESTS ⋮ Testing the joint hypothesis of rationality and neutrality under seasonal cointegration: The case of Korea ⋮ Additional critical values and asymptotic representations for seasonal unit root tests ⋮ Representations of \(I(2)\) cointegrated systems using the Smith-McMillan form ⋮ A method to select between periodic cointegration and seasonal cointegration ⋮ Seasonal cointegration and cross-equation restrictions on a forward-looking buffer stock model of money demand. ⋮ Measurement errors and outliers in seasonal unit root testing

Cites Work

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• Seasonal integration and cointegration
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• Limiting distributions of least squares estimates of unstable autoregressive processes
• Seasonal cointegration. The Japanese consumption function (with discussion)
• A multivariate approach to modeling univariate seasonal time series
• Asymptotic Properties of Residual Based Tests for Cointegration
• Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors
• Time Series Regression with a Unit Root
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• DISTRIBUTIONS OF LEAST SQUARES ESTIMATORS OF AUTOREGRESSIVE PARAMETERS FOR A PROCESS WITH COMPLEX ROOTS ON THE UNIT CIRCLE
• Testing for Unit Roots in Seasonal Time Series

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