Cyclical common factors in cointegrated systems
AbstractWhen working with vectors of time series which fluctuate regularly we may possibly want to consider the presence of common factors characterized by cyclical or seasonal behavior as well as trend. For example, Deaton89 provides a hint of a theoretical model where cointegration at the annual frequency may exist between consumption and income in addition to the usual secular cointegration. It is well known that a non-cyclical system cointegrated at frequency zero has a common trend (CT) representation Stock-Watson: 88. In this paper we show that a time series vector that is cointegrated at one or several frequencies simultaneously (e.g. seasonal data) has a common factors (CF) representation which belongs to a class of common factor models that encompasses many cointegrating situations found in the literature. We study these issues and extend the method proposed by Gonzalo-Granger: 95 to the estimation and testing of common factors which may combine trend as well as cyclical or seasonal characteristics. Two illustrative applications are also provided. Copyright Springer-Verlag Berlin/Heidelberg 2006
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by Springer in its journal Spanish Economic Review.
Volume (Year): 8 (2006)
Issue (Month): 1 (03)
Contact details of provider:
Postal: Universidad del País Vasco; DFAE II; Avenida Lehendakari Aguirre, 83; 48015 Bilbao; Spain
Phone: +34 94 6013783
Fax: + 34 94 6013774
Web page: http://link.springer.de/link/service/journals/10108/index.htm
More information through EDIRC
You can help add them by filling out this form.
reading list or among the top items on IDEAS.Access and download statisticsgeneral information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Guenther Eichhorn) or (Christopher F Baum).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.