IDEAS home Printed from
   My bibliography  Save this article

Cyclical common factors in cointegrated systems


  • Ignacio Díaz-Emparanza


  • Javier Fernández-Macho



When 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

Suggested Citation

  • Ignacio Díaz-Emparanza & Javier Fernández-Macho, 2006. "Cyclical common factors in cointegrated systems," Spanish Economic Review, Springer;Spanish Economic Association, vol. 8(1), pages 53-82, March.
  • Handle: RePEc:spr:specre:v:8:y:2006:i:1:p:53-82
    DOI: 10.1007/s10108-005-0104-z

    Download full text from publisher

    File URL:
    Download Restriction: Access to full text is restricted to subscribers.

    As the access to this document is restricted, you may want to search for a different version of it.


    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:specre:v:8:y:2006:i:1:p:53-82. See general 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: (Sonal Shukla) or (Springer Nature Abstracting and Indexing). General contact details of provider: .

    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.

    We have no references for this item. You can help adding them by using 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 RePEc Author Service 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.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.