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Seasonal cointegration for monthly data

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  • Darne, Olivier

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Bibliographic Info

Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 82 (2004)
Issue (Month): 3 (March)
Pages: 349-356

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Handle: RePEc:eee:ecolet:v:82:y:2004:i:3:p:349-356

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Web page: http://www.elsevier.com/locate/ecolet

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  1. Franses, Ph.H.B.F. & Kunst, R.M., 1998. "On the role of seasonal intercepts in seasonal cointegration," Econometric Institute Research Papers EI 9820, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  2. J. Joseph Beaulieu & Jeffrey A. Miron, 1990. "The Seasonal Cycle in U.S. Manufacturing," NBER Working Papers 3450, National Bureau of Economic Research, Inc.
  3. Löf, Mårten & Lyhagen, Johan, 1999. "Forecasting performance of seasonal cointegration models," Working Paper Series in Economics and Finance 336, Stockholm School of Economics.
  4. Osborn, Denise R. & Heravi, Saeed & Birchenhall, C. R., 1999. "Seasonal unit roots and forecasts of two-digit European industrial production," International Journal of Forecasting, Elsevier, vol. 15(1), pages 27-47, February.
  5. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
  6. Lee, Hahn Shik, 1992. "Maximum likelihood inference on cointegration and seasonal cointegration," Journal of Econometrics, Elsevier, vol. 54(1-3), pages 1-47.
  7. Hyllerberg, S. & Engle, R.F. & Granger, C.W.J. & Yoo, B.S., 1988. "Seasonal Integration And Cointegration," Papers 0-88-2, Pennsylvania State - Department of Economics.
  8. Lee, Hahn S. & Siklos, Pierre L., 1995. "A note on the critical values for the maximum likelihood (seasonal) cointegration tests," Economics Letters, Elsevier, vol. 49(2), pages 137-145, August.
  9. Joseph Beaulieu, J. & Miron, Jeffrey A., 1993. "Seasonal unit roots in aggregate U.S. data," Journal of Econometrics, Elsevier, vol. 55(1-2), pages 305-328.
  10. Franses, Philip Hans & McAleer, Michael, 1998. " Cointegration Analysis of Seasonal Time Series," Journal of Economic Surveys, Wiley Blackwell, vol. 12(5), pages 651-78, December.
  11. Löf, Mårten & Franses, Philip Hans, 2000. "On Forecasting Cointegrated Seasonal Time Series," Working Paper Series in Economics and Finance 350, Stockholm School of Economics.
  12. 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.
  13. Ghysels,Eric & Osborn,Denise R., 2001. "The Econometric Analysis of Seasonal Time Series," Cambridge Books, Cambridge University Press, number 9780521565882, November.
  14. Engle, R. F. & Granger, C. W. J. & Hallman, J. J., 1989. "Merging short-and long-run forecasts : An application of seasonal cointegration to monthly electricity sales forecasting," Journal of Econometrics, Elsevier, vol. 40(1), pages 45-62, January.
  15. Peter Boswijk, H., 1994. "Testing for an unstable root in conditional and structural error correction models," Journal of Econometrics, Elsevier, vol. 63(1), pages 37-60, July.
  16. Ghysels, Eric & Perron, Pierre, 1993. "The effect of seasonal adjustment filters on tests for a unit root," Journal of Econometrics, Elsevier, vol. 55(1-2), pages 57-98.
  17. Engle, R. F. & Granger, C. W. J. & Hylleberg, S. & Lee, H. S., 1993. "The Japanese consumption function," Journal of Econometrics, Elsevier, vol. 55(1-2), pages 275-298.
  18. Lee, Hahn Shik & Siklos, Pierre L., 1997. "The role of seasonality in economic time series reinterpreting money-output causality in U.S. data," International Journal of Forecasting, Elsevier, vol. 13(3), pages 381-391, September.
  19. Franses, Philip Hans, 1991. "Seasonality, non-stationarity and the forecasting of monthly time series," International Journal of Forecasting, Elsevier, vol. 7(2), pages 199-208, August.
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