TESTS FOR SEASONAL COINTEGRATION USING PRINCIPAL COMPONENTS

DOI10.1111/J.1467-9892.1992.TB00097.XMaRDI QIDQ4012951zbMATH OpenOpenAlexFDO

Authors Roselyne Joyeux

Publication date 27 September 1992

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9892.1992.tb00097.x

zbMATH Keywords

error-correction termsgeneralization of latent root testsnew cointegration testsseasonal unit roots

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Recommendations

• Seasonal integration and cointegration
• Testing for cointegration at any frequency using spectral methods
• COINTEGRATION FOR PERIODICALLY INTEGRATED PROCESSES
• Seasonal cointegration. The Japanese consumption function (with discussion)
• Testing for cointegration using principal components methods

Cites work

• Asymptotic Theory for Principal Component Analysis
• Seasonal integration and cointegration
• Testing for cointegration using principal components methods
• Testing for Unit Roots in Seasonal Time Series
• Time Series Regression with a Unit Root

Cited in

(12)

• Bonferroni correction for seasonal cointegrating ranks
• Seasonal integration and cointegration
• Testing for cointegration using principal components methods
• Seasonal cointegration. The Japanese consumption function (with discussion)
• Seasonal cointegration for monthly data
• Asymptotic analysis of non-periodical cointegration with high seasonals
• scientific article; zbMATH DE number 5310465 (Why is no real title available?)
• Testing for cointegration at any frequency using spectral methods
• A SCORE TEST FOR SEASONAL FRACTIONAL INTEGRATION AND COINTEGRATION
• Inference of seasonal cointegration with linear restrictions
• An Algebraic Estimator for Large Spectral Density Matrices
• Small-sample improvements in the statistical analysis of seasonally cointegrated systems

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