On the Role of Seasonal Intercepts in Seasonal Cointegration

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On the Role of Seasonal Intercepts in Seasonal Cointegration

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Franses, Philip Hans
Kunst, Robert M

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Article provided by Department of Economics, University of Oxford in its journal Oxford Bulletin of Economics & Statistics.

Volume (Year): 61 (1999)
Issue (Month): 3 (August)
Pages: 409-33
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Handle: RePEc:bla:obuest:v:61:y:1999:i:3:p:409-33

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Paper
- Philip Hans Franses & Robert M. Kunst, 1996. "On the Role of Seasonal Intercepts in Seasonal Cointegration," Tinbergen Institute Discussion Papers 96-175/7, Tinbergen Institute.
- Franses, Philip Hans & Kunst, Robert M., 1995. "On the role of seasonal intercepts in seasonal cointegration," Economics Series 15, Institute for Advanced Studies. [Downloadable!]
- Franses, P.H. & Kunst, R.M., 1998. "On the Role of Seasonal Intercepts in Seasonal Cointegration," Papers 9820/a, Erasmus University of Rotterdam - Econometric Institute.
- Franses, Ph.H.B.F. & Kunst, R.M., 1998. "On the role of seasonal intercepts in seasonal cointegration," Econometric Institute Report EI 9820 Revision_Date: 20, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

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. SEGeS. [Downloadable!]
Other versions:
- 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. [Downloadable!] (restricted)
H. Herwartz & H. E. Reimers, . "Seasonal Cointegration Analysis for German M3 Money Demand," Sonderforschungsbereich 373 1996-78, Humboldt Universitaet Berlin.
Other versions:
- Helmut Herwartz & Hans-Eggert Reimers, 2003. "Seasonal cointegration analysis for German M3 money demand," Applied Financial Economics, Taylor and Francis Journals, vol. 13(1), pages 71-78, January. [Downloadable!] (restricted)
Kunst, Robert M., 2009. "A Nonparametric Test for Seasonal Unit Roots," Economics Series 233, Institute for Advanced Studies. [Downloadable!]
Kunst, Robert M., 1997. "Decision Bounds for Data-Admissible Seasonal Models," Economics Series 51, Institute for Advanced Studies. [Downloadable!]
Gianluca Cubadda, 2000. "Complex Reduced Rank Models for Seasonally Cointegrated Time Series," Econometric Society World Congress 2000 Contributed Papers 0092, Econometric Society. [Downloadable!]
Other versions:
- Cubadda, Gianluca, 2001. " Complex Reduced Rank Models for Seasonally Cointegrated Time Series," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 63(4), pages 497-511, September. [Downloadable!] (restricted)
Gianluca Cubadda, 2001. "Common Features In Time Series With Both Deterministic And Stochastic Seasonality," Econometric Reviews, Taylor and Francis Journals, vol. 20(2), pages 201-216. [Downloadable!] (restricted)
Kunst, Robert M. & Reutter, Michael, 2000. "Decisions on Seasonal Unit Roots," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]

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