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Testing for the cointegration rank between Periodically Integrated processes

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  • del Barrio Castro, Tomás

Abstract

Cointegration between periodically integrated (PI) processes has been analyzed by many, including Bladen-Hovell, Chui, Osborn, and Smith (1989), Boswijk and Franses (1995), Franses and Paap (2004), Kleibergen and Franses (1999) and del Barrio Castro and Osborn (2008), to name a few. However, there is currently no published method that allows us to determine the cointegration rank between P I processes. The present paper Ölls this gap in the literature with a method for determining the cointegration rank between a set of P I processes based on the idea of pseudo-demodulation, as proposed in the context of seasonal cointegration by del Barrio Castro, Cubadda, and Osborn (2020). Once a pseudodemodulated time series is obtained, the Johansen (1995) procedure can be applied to determine the cointegration rank. A Monte Carlo experiment shows that the proposed approach works satisfactorily for small samples.

Suggested Citation

  • del Barrio Castro, Tomás, 2022. "Testing for the cointegration rank between Periodically Integrated processes," MPRA Paper 112730, University Library of Munich, Germany, revised 2022.
    • Handle: RePEc:pra:mprapa:112730
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    References listed on IDEAS

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    More about this item

    Keywords

    Reduced Rank Regression; Periodic Cointegration; Periodically Integrated Processes.;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

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