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,
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