A Feasible Two-Step Estimator for Seasonal Cointegration
نویسندگان
چکیده
منابع مشابه
Cointegration for Seasonal Time Series Processes
This paper examines types of cointegration for bivariate seasonal time series, namely seasonal cointegration, periodic cointegration and nonperiodic cointegration. The admissable form(s) for any cointegration is shown to depend crucially on the univariate unit root properties of the series. When both processes are (conventionally) integrated, only nonperiodic cointegration is possible. Periodic...
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ژورنال
عنوان ژورنال: Communications for Statistical Applications and Methods
سال: 2008
ISSN: 2287-7843
DOI: 10.5351/ckss.2008.15.3.411