References listed on IDEAS
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1. 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. [Downloadable!] (restricted)
   Other versions:
   • Granger, C.W.J. & Siklos, P.L., 1993. "Systematic Sampling, Temporal Aggregation, Seasonal Adjustment, and Cointegration: Theory and Evidence," Working Papers 93001, Wilfrid Laurier University, Department of Economics.
2. Johansen, Soren & Schaumburg, Ernst, 1998. "Likelihood analysis of seasonal cointegration," Journal of Econometrics, Elsevier, vol. 88(2), pages 301-339, November. [Downloadable!] (restricted)
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   • Johansen, S. & Schaumburg, E., 1997. "Likelihood Analysis of Seasonal Cointegration," Economics Working Papers eco97/16, European University Institute.
3. Sung K. Ahn & Sinsup Cho & B. Chan Seong, 2004. "Inference of Seasonal Cointegration: Gaussian Reduced Rank Estimation and Tests for Various Types of Cointegration," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 66(2), pages 261-284, 05. [Downloadable!] (restricted)
4. Franses, Philip Hans & McAleer, Michael, 1998. " Cointegration Analysis of Seasonal Time Series," Journal of Economic Surveys, Blackwell Publishing, vol. 12(5), pages 651-78, December. [Downloadable!] (restricted)
5. 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. [Downloadable!] (restricted)
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   • 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.
   • Hylleberg, S. & Engle, R.F. & Granger, C.W.J. & Yoo, B.S., 1988. "Seasonal, Integration And Cointegration," Papers 6-88-2, Pennsylvania State - Department of Economics.
6. Siem Jan Koopman & Neil Shephard & Jurgen A. Doornik, 1999. "Statistical algorithms for models in state space using SsfPack 2.2," Econometrics Journal, Royal Economic Society, vol. 2(1), pages 107-160.
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   • Koopman, S.J. & Shephard, N. & Doornik, J.A., 1998. "Statistical algorithms for models in state space using ssfpack 2.2," Discussion Paper 141, Tilburg University, Center for Economic Research. [Downloadable!]
7. Cubadda, Gianluca, 1999. "Common Cycles in Seasonal Non-stationary Time Series," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 14(3), pages 273-91, May-June. [Downloadable!]
8. Tommaso PROIETTI, 2002. "Seasonal Specific Structural Time Series Models," Economics Working Papers ECO2002/10, European University Institute. [Downloadable!]
9. Caner, Mehmet, 1998. "A Locally Optimal Seaosnal Unit-Root Test," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(3), pages 349-56, July.
10. Hylleberg, Svend & Jorgensen, Clara & Sorensen, Nils Karl, 1993. "Seasonality in Macroeconomic Time Series," Empirical Economics, Springer, vol. 18(2), pages 321-35.
11. Brendstrup, Bjarne & Hylleberg, Svend & Nielsen, Morten Rregaard & Skipper, Lars & Stentoft, Lars, 2004. "Seasonality In Economic Models," Macroeconomic Dynamics, Cambridge University Press, vol. 8(03), pages 362-394, June. [Downloadable!]
12. Canova, Fabio & Hansen, Bruce E, 1995. "Are Seasonal Patterns Constant over Time? A Test for Seasonal Stability," Journal of Business & Economic Statistics, American Statistical Association, vol. 13(3), pages 237-52, July.
13. Ghysels, Eric & Granger, Clive W J & Siklos, Pierre L, 1996. "Is Seasonal Adjustment a Linear or Nonlinear Data-Filtering Process? Reply," Journal of Business & Economic Statistics, American Statistical Association, vol. 14(3), pages 396-97, July.
14. Abeysinghe, Tilak, 1994. "Deterministic seasonal models and spurious regressions," Journal of Econometrics, Elsevier, vol. 61(2), pages 259-272, April. [Downloadable!] (restricted)
15. Ghysels, Eric & Granger, Clive W J & Siklos, Pierre L, 1996. "Is Seasonal Adjustment a Linear or Nonlinear Data-Filtering Process?," Journal of Business & Economic Statistics, American Statistical Association, vol. 14(3), pages 374-86, July.
    Other versions:
    • Ghysels, E. & Granger, C.W.J. & Siklos, P.L., 1995. "Is Seasonal Adjustment a Linear or Nonlinear Data Filtring Process," Cahiers de recherche 9517, Universite de Montreal, Departement de sciences economiques. [Downloadable!]
    • Eric Ghysels & Clive W.J. Granger & Pierre L. Siklos, 1995. "Is Seasonal Adjustment a Linear or Nonlinear Data Filtering Process?," CIRANO Working Papers 95s-19, CIRANO. [Downloadable!]
    • Ghysels, E. & Granger, C.W.J. & Siklos, P.L., 1995. "Is Seasonal Adjustment a Linear or Nonlinear Data Filtring Process," Cahiers de recherche 9517, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
16. 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. [Downloadable!] (restricted)
    Other versions:
    • Gianluca Cubadda, 2000. "Complex Reduced Rank Models for Seasonally Cointegrated Time Series," Econometric Society World Congress 2000 Contributed Papers 0092, Econometric Society. [Downloadable!]
17. Ahn, Sung K. & Reinsel, Gregory C., 1994. "Estimation of partially nonstationary vector autoregressive models with seasonal behavior," Journal of Econometrics, Elsevier, vol. 62(2), pages 317-350, June. [Downloadable!] (restricted)
18. Hylleberg, S. & Pagan, A. R., 1997. "Seasonal integration and the evolving seasonals model," International Journal of Forecasting, Elsevier, vol. 13(3), pages 329-340, September. [Downloadable!] (restricted)
    Other versions:
    • Hylleberg, S. & Pagan, A.R., 1995. "Seasonal Integration and the Evolving Seasonals Model," Papers 281, Australian National University - Department of Economics.
    • Hylleberg, S. & Pagan, A.R., 1996. "Seasonal Integration and the Evolving Seasonals Models," Economics Working Papers 1996-14, School of Economics and Management, University of Aarhus.
19. Lee, Hahn Shik, 1992. "Maximum likelihood inference on cointegration and seasonal cointegration," Journal of Econometrics, Elsevier, vol. 54(1-3), pages 1-47. [Downloadable!] (restricted)