Cointegration For Periodically Integrated Processes
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Volume (Year): 24 (2008)
Issue (Month): 01 (February)
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- Franses, Philip Hans, 1993. "A method to select between periodic cointegration and seasonal cointegration," Economics Letters, Elsevier, vol. 41(1), pages 7-10.
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2005-03, Department of Economics and Business Economics, Aarhus University.
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"Seasonal Integration And Cointegration,"
0-88-2, Pennsylvania State - Department of Economics.
- Boswijk, H Peter & Franses, Philip Hans, 1995. "Periodic Cointegration: Representation and Inference," The Review of Economics and Statistics, MIT Press, vol. 77(3), pages 436-54, August.
- Peter C.B. Phillips & Sam Ouliaris, 1987.
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847R, Cowles Foundation for Research in Economics, Yale University, revised Jul 1988.
- Phillips, Peter C B & Ouliaris, S, 1990. "Asymptotic Properties of Residual Based Tests for Cointegration," Econometrica, Econometric Society, vol. 58(1), pages 165-93, January.
- Peter Boswijk, H., 1994. "Testing for an unstable root in conditional and structural error correction models," Journal of Econometrics, Elsevier, vol. 63(1), pages 37-60, July.
- Franses, Philip Hans, 1996. "Periodicity and Stochastic Trends in Economic Time Series," OUP Catalogue, Oxford University Press, number 9780198774549, December.
- Osborn, Denise R., 1991. "The implications of periodically varying coefficients for seasonal time-series processes," Journal of Econometrics, Elsevier, vol. 48(3), pages 373-384, June.
- Hansen, Bruce E., 1992.
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- Tom Doan, . "POTESTRESIDS: RATS procedure to perform Phillips-Ouliaris-Hansen test for Cointegration on 1st stage residuals," Statistical Software Components RTS00248, Boston College Department of Economics.
- Tom Doan, . "POTEST: RATS procedure to perform Phillips-Ouliaris-Hansen test for Cointegration," Statistical Software Components RTS00247, Boston College Department of Economics.
- Tom Doan, . "FM: RATS procedure to estimate cointegrating vectors using Fully Modified Least Squares," Statistical Software Components RTS00069, Boston College Department of Economics.
- Birchenhall, C R, et al, 1989. "A Seasonal Model of Consumption," Economic Journal, Royal Economic Society, vol. 99(397), pages 837-43, September.
- Lee, Hahn Shik, 1992. "Maximum likelihood inference on cointegration and seasonal cointegration," Journal of Econometrics, Elsevier, vol. 54(1-3), pages 1-47.
- Granger, C. W. J. & Newbold, P., 1974. "Spurious regressions in econometrics," Journal of Econometrics, Elsevier, vol. 2(2), pages 111-120, July.
- Franses, Philip Hans, 1994. "A multivariate approach to modeling univariate seasonal time series," Journal of Econometrics, Elsevier, vol. 63(1), pages 133-151, July.
- Richard Paap & Philip Hans Franses, 1999. "On trends and constants in periodic autoregressions," Econometric Reviews, Taylor & Francis Journals, vol. 18(3), pages 271-286.
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