1995
A vector of quarters representation for bivariate time series
Publication
Publication
Econometric Reviews p. 55- 63
In this paper it is shown that several models for a bivariate nonstationary quarterly time series are nested in a vector autoregression with cointegration restrictions for the eight annual series of quarterly observations. Or, the Granger Representation Theorem is extended to incorporate, e.g., seasonal and periodic cointegration.
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| doi.org/10.1080/07474939508800303, hdl.handle.net/1765/2059 | |
| Econometric Reviews | |
| Organisation | Erasmus School of Economics |
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Franses, Ph.H.B.F. (1995). A vector of quarters representation for bivariate time series. Econometric Reviews, 55–63. doi:10.1080/07474939508800303
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