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Cointegration Analysis of Seasonal Time Series

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  • Philip Hans Franses
  • Michael McAleer

Abstract

This paper reviews various recent approaches to cointegration analysis of seasonal time series. In addition to the usual decisions concerning data transformations and univariate time series properties, it is necessary to decide how seasonal variation is included in the multivariate model and how standard cointegration methods should accordingly be modified. Seasonal cointegration and periodic cointegration methods are discussed, as are some of their recent refinements. An overview of further research topics is also provided.

Suggested Citation

  • Philip Hans Franses & Michael McAleer, 1998. "Cointegration Analysis of Seasonal Time Series," Journal of Economic Surveys, Wiley Blackwell, vol. 12(5), pages 651-678, December.
    • Handle: RePEc:bla:jecsur:v:12:y:1998:i:5:p:651-678
    DOI: 10.1111/1467-6419.00070
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    Cited by:

    1. Cubadda, Gianluca & Omtzigt, Pieter, 2005. "Small-sample improvements in the statistical analysis of seasonally cointegrated systems," Computational Statistics & Data Analysis, Elsevier, vol. 49(2), pages 333-348, April.
    2. Saha, Shrabani & Zhang, Zhaoyong, 2013. "Do exchange rates affect consumer prices? A comparative analysis for Australia, China and India," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 93(C), pages 128-138.
    3. Diego Winkelried Quezada, 2003. "Indicadores adelantados de la inflación en el Perú," Monetaria, CEMLA, vol. 0(4), pages 345-382, octubre-d.
    4. Héctor A. Valle S., 2003. "Pronósticos de inflación para Guatemala hechos con modelos ARIMA y VAR," Monetaria, CEMLA, vol. 0(4), pages 407-428, octubre-d.
    5. Lof, Marten & Hans Franses, Philip, 2001. "On forecasting cointegrated seasonal time series," International Journal of Forecasting, Elsevier, vol. 17(4), pages 607-621.
    6. repec:ebl:ecbull:v:3:y:2003:i:18:p:1-8 is not listed on IDEAS
    7. Peter C. B. Phillips & Zhijie Xiao, 1998. "A Primer on Unit Root Testing," Journal of Economic Surveys, Wiley Blackwell, vol. 12(5), pages 423-470, December.
    8. Olivier Darné, 2003. "Maximum likelihood seasonal cointegration tests for daily data," Economics Bulletin, AccessEcon, vol. 3(18), pages 1-8.
    9. Jan Marc Berk & Gerbert Hebbink, 2006. "The anchoring of European inflation expectations," DNB Working Papers 116, Netherlands Central Bank, Research Department.
    10. Philip Kostov & John Lingard, 2005. "Seasonally specific model analysis of UK cereals prices," Econometrics 0507014, University Library of Munich, Germany.
    11. Darne, Olivier, 2004. "Seasonal cointegration for monthly data," Economics Letters, Elsevier, vol. 82(3), pages 349-356, March.
    12. Fabio Busetti, 2006. "Tests of seasonal integration and cointegration in multivariate unobserved component models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(4), pages 419-438, May.
    13. Méndez Parra, Maximiliano, 2015. "Futures prices, trade and domestic supply of agricultural commodities," Economics PhD Theses 0115, Department of Economics, University of Sussex Business School.
    14. Younes Ben Zaied & Marie Estelle Binet, 2015. "Modelling seasonality in residential water demand: the case of Tunisia," Applied Economics, Taylor & Francis Journals, vol. 47(19), pages 1983-1996, April.
    15. Nikolaos Giannellis & Minoas Koukouritakis, 2011. "Behavioural equilibrium exchange rate and total misalignment: evidence from the euro exchange rate," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 38(4), pages 555-578, November.
    16. Claudia Arguedas & Jorge Requena, 2003. "La dolarización en Bolivia: una estimación de la elasticidad de sustitución entre monedas," Monetaria, CEMLA, vol. 0(4), pages 383-406, octubre-d.
    17. Plato, Gerald E., 2001. "The Soybean Processing Decision: Exercising A Real Option On Processing Margins," Technical Bulletins 33567, United States Department of Agriculture, Economic Research Service.
    18. Sin, Chor-yiu (CY), 2015. "The economic fundamental and economic policy uncertainty of Mainland China and their impacts on Taiwan and Hong Kong," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 298-311.
    19. Mendez Parra, Maximiliano, 2015. "Seasonal Unit Roots and Structural Breaks in agricultural time series: Monthly exports and domestic supply in Argentina," MPRA Paper 63831, University Library of Munich, Germany, revised 06 Apr 2015.
    20. Jesús R. González García, 2003. "La dinámica del consumo privado en México: un análisis de cointegración con cambios de régimen," Monetaria, CEMLA, vol. 0(4), pages 429-449, octubre-d.

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