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Cointegration Analysis of Seasonal Time Series

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  • Franses, Philip Hans
  • McAleer, Michael

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. Copyright 1998 by Blackwell Publishers Ltd

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Bibliographic Info

Article provided by Wiley Blackwell in its journal Journal of Economic Surveys.

Volume (Year): 12 (1998)
Issue (Month): 5 (December)
Pages: 651-78

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Handle: RePEc:bla:jecsur:v:12:y:1998:i:5:p:651-78

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Cited by:
  1. Fabio Busetti, 2004. "Tests of seasonal integration and cointegration in multivariate unobserved component models," Econometrics 0411003, EconWPA.
  2. Héctor A. Valle S., 2003. "Pronósticos de inflación para Guatemala hechos con modelos ARIMA y VAR," Monetaria, Centro de Estudios Monetarios Latinoamericanos, vol. 0(4), pages 407-428, octubre-d.
  3. Jesús R. González García, 2003. "La dinámica del consumo privado en México: un análisis de cointegración con cambios de régimen," Monetaria, Centro de Estudios Monetarios Latinoamericanos, vol. 0(4), pages 429-449, octubre-d.
  4. Lof, Marten & Hans Franses, Philip, 2001. "On forecasting cointegrated seasonal time series," International Journal of Forecasting, Elsevier, vol. 17(4), pages 607-621.
  5. Nikolaos Giannellis & Minoas Koukouritakis, 2011. "Behavioural equilibrium exchange rate and total misalignment: evidence from the euro exchange rate," Empirica, Springer, vol. 38(4), pages 555-578, November.
  6. Philip Kostov & John Lingard, 2005. "Seasonally specific model analysis of UK cereals prices," Econometrics 0507014, EconWPA.
  7. Darne, Olivier, 2004. "Seasonal cointegration for monthly data," Economics Letters, Elsevier, vol. 82(3), pages 349-356, March.
  8. 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.
  9. KETENCI, Natalya, 2010. "Cointegration Analysis Of Tourism Demand For Turkey," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 10(1).
  10. Diego Winkelried Quezada, 2003. "Indicadores adelantados de la inflación en el Perú," Monetaria, Centro de Estudios Monetarios Latinoamericanos, vol. 0(4), pages 345-382, octubre-d.
  11. Cubadda, Gianluca & Omtzigt, Pieter, 2003. "Small Sample Improvements in the Statistical Analysis of Seasonally Cointegrated Systems," Economics & Statistics Discussion Papers esdp03012, University of Molise, Dept. EGSeI.
  12. Claudia Arguedas & Jorge Requena, 2003. "La dolarización en Bolivia: una estimación de la elasticidad de sustitución entre monedas," Monetaria, Centro de Estudios Monetarios Latinoamericanos, vol. 0(4), pages 383-406, octubre-d.
  13. repec:ebl:ecbull:v:3:y:2003:i:18:p:1-8 is not listed on IDEAS
  14. Olivier Darné, 2003. "Maximum likelihood seasonal cointegration tests for daily data," Economics Bulletin, AccessEcon, vol. 3(18), pages 1-8.
  15. Jan Marc Berk & Gerbert Hebbink, 2006. "The anchoring of European inflation expectations," DNB Working Papers 116, Netherlands Central Bank, Research Department.

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