A vector of quarters representation for bivariate time series
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.
|cointegration, periodic models, seasonality|
|Organisation||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