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.

cointegration, periodic models, seasonality,
Econometric Reviews
Erasmus School of Economics

Franses, Ph.H.B.F. (1995). A vector of quarters representation for bivariate time series. Econometric Reviews, 55–63. doi:10.1080/07474939508800303