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