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.

cointegration models, seasonality, time series
dx.doi.org/10.1016/0165-1765(93)90102-I, hdl.handle.net/1765/2074
Economics Letters
Erasmus School of Economics

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