A method to select between periodic cointegration and seasonal cointegration
January 1993
Article
pp 7-10.
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The seasonal and the periodic cointegration models are non-nested models that can explain complex patterns in univariate seasonal time series. This paper proposes a simple model selection method which is based on an application of the usual test procedures for cointegration to the annual series per season.
Keywords
Automatically Extracted Terms
- cointegration
- model
- cointegration model
- series
- model selection method
- method
- time series
- frequency
- variable
- unit roots
- quarter
- cointegration models
- statistic
- selection
- parameter
- frame
- season
- rejection frequencies
- hylleberg
- franse
