1993
A method to select between periodic cointegration and seasonal cointegration
Publication
Publication
Economics Letters p. 7- 10
The seasonal and the periodic cointegration models are non-nested models that can explain complex patterns in univariate seasonal time series. This paper proposes a simple model selection method which is based on an application of the usual test procedures for cointegration to the annual series per season.
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| doi.org/10.1016/0165-1765(93)90102-I, hdl.handle.net/1765/2074 | |
| Economics Letters | |
| Organisation | Erasmus School of Economics |
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Franses, Ph.H.B.F. (1993). A method to select between periodic cointegration and seasonal cointegration. Economics Letters, 7–10. doi:10.1016/0165-1765(93)90102-I
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