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Unit Roots and Seasonal Unit Roots in Macroeconomic Time Series: Canadian Evidence

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Author Info

  • Lee, H.S.
  • Siklos, P.L.

Abstract

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Bibliographic Info

Paper provided by Wilfrid Laurier University, Department of Economics in its series Working Papers with number 91143.

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Length: 10 pages
Date of creation: 1991
Date of revision:
Handle: RePEc:wlu:wpaper:91143

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Web page: http://www.wlu.ca/sbe/economics/
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Keywords: econometrics ; business cycles ; trends;

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Cited by:
  1. Ananda Weliwita & Hiroshi Tsujii, 2000. "The Exchange Rate and Sri Lanka¡¯s Trade Deficit," Journal of Economic Development, Chung-Ang Unviersity, Department of Economics, vol. 25(2), pages 131-153, December.
  2. Shen Chung-Hua & Huang Tai-Hsin, 1999. "Money Demand and Seasonal Cointegration," International Economic Journal, Taylor & Francis Journals, vol. 13(3), pages 97-123.
  3. Huang, Tai-Hsin & Shen, Chung-Hua, 2002. "Seasonal cointegration and cross-equation restrictions on a forward-looking buffer stock model of money demand," Journal of Econometrics, Elsevier, vol. 111(1), pages 11-46, November.
  4. Granger, C. W. J. & Siklos, Pierre L., 1995. "Systematic sampling, temporal aggregation, seasonal adjustment, and cointegration theory and evidence," Journal of Econometrics, Elsevier, vol. 66(1-2), pages 357-369.
  5. Raimundo Soto & Matías Tapia, 2001. "Seasonal cointegration and the stability of the demand for money," Working Papers Central Bank of Chile 103, Central Bank of Chile.
  6. Peijie Wang, 2003. "Cycles and Common Cycles in Property and Related Sectors," International Real Estate Review, Asian Real Estate Society, vol. 6(1), pages 22-42.
  7. Raimundo Soto M. & Matías Tapia G., 2000. "Seasonal Cointegration in Money Demand," Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 3(3), pages 57-71, December.
  8. Shigeyuki Hamori & Akira Tokihisa, 2002. "Some International Evidence on the Seasonality of Stock Prices," International Journal of Business and Economics, College of Business, and College of Finance, Feng Chia University, Taichung, Taiwan, vol. 1(1), pages 79-86, April.
  9. Gil-Alana, L.A., 2008. "Testing of seasonal integration and cointegration with fractionally integrated techniques: An application to the Danish labour demand," Economic Modelling, Elsevier, vol. 25(2), pages 326-339, March.
  10. Asmaa Ahmed, 2005. "Random Walks in the Economic Dynamic Series," Economic Thought journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 2, pages 78-100.
  11. Ermini, Luigi & Chang, Dongkoo, 1996. "Testing the joint hypothesis of rationality and neutrality under seasonal cointegration: The case of Korea," Journal of Econometrics, Elsevier, vol. 74(2), pages 363-386, October.
  12. Smith, Jeremy & Otero, Jesus, 1997. "Structural breaks and seasonal integration," Economics Letters, Elsevier, vol. 56(1), pages 13-19, September.
  13. Franco Bevilacqua & Adriaan van Zon, 2002. "Random Walks and Non-Linear Paths in Macroeconomic Time Series: Some Evidence and Implications," Working Papers geewp22, Vienna University of Economics Research Group: Growth and Employment in Europe: Sustainability and Competitiveness.

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