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Systematic sampling, temporal aggregation, seasonal adjustment, and cointegration theory and evidence

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  • Granger, C. W. J.
  • Siklos, Pierre L.

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 66 (1995)
Issue (Month): 1-2 ()
Pages: 357-369

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Handle: RePEc:eee:econom:v:66:y:1995:i:1-2:p:357-369

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

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References

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  1. Ghysels, E. & Lee, H.S. & Siklos, P.L., 1992. "On the (Mis)Specification of Seasonality and Its Consequences: An Empirical Investigation With U.S. Data," Cahiers de recherche 9237, Centre interuniversitaire de recherche en ├ęconomie quantitative, CIREQ.
  2. Lee, H.S. & Siklos, P.L., 1991. "Unit Roots and Seasonal Unit Roots in Macroeconomic Time Series: Canadian Evidence," Working Papers 91143, Wilfrid Laurier University, Department of Economics.
  3. Campos, Julia & Ericsson, Neil R. & Hendry, David F., 1990. "An analogue model of phase-averaging procedures," Journal of Econometrics, Elsevier, vol. 43(3), pages 275-292, March.
  4. John Y. Campbell & Pierre Perron, 1991. "Pitfalls and Opportunities: What Macroeconomists Should Know About Unit Roots," NBER Chapters, in: NBER Macroeconomics Annual 1991, Volume 6, pages 141-220 National Bureau of Economic Research, Inc.
  5. Engle, Robert F & Granger, Clive W J, 1987. "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica, Econometric Society, vol. 55(2), pages 251-76, March.
  6. Hylleberg, S. & Engle, R. F. & Granger, C. W. J. & Yoo, B. S., 1990. "Seasonal integration and cointegration," Journal of Econometrics, Elsevier, vol. 44(1-2), pages 215-238.
  7. Michelle R. Garfinkel & Daniel L. Thornton, 1991. "Alternative measures of the monetary base: what are the differences and are they important?," Review, Federal Reserve Bank of St. Louis, issue Nov, pages 19-35.
  8. Barsky, Robert B & Miron, Jeffrey A, 1989. "The Seasonal Cycle and the Business Cycle," Journal of Political Economy, University of Chicago Press, vol. 97(3), pages 503-34, June.
  9. Lee, H.S. & Siklos, P.L., 1991. "Unit Roots and Seasonal Unit Roots in Macroeconomic Time Series: Canadian Evidence," Working Papers 91143, Wilfrid Laurier University, Department of Economics.
  10. 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.
  11. Ghysels, Eric & Lee, Hahn S. & Noh, Jaesum, 1994. "Testing for unit roots in seasonal time series : Some theoretical extensions and a Monte Carlo investigation," Journal of Econometrics, Elsevier, vol. 62(2), pages 415-442, June.
  12. 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.
  13. Weiss, Andrew A., 1984. "Systematic sampling and temporal aggregation in time series models," Journal of Econometrics, Elsevier, vol. 26(3), pages 271-281, December.
  14. 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.
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