1995-01-01
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.
| Additional Metadata | |
|---|---|
| Keywords | cointegration, periodic models, seasonality |
| Persistent URL | dx.doi.org/10.1080/07474939508800303, hdl.handle.net/1765/2059 |
| Journal | Econometric Reviews |
| Citation |
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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