This paper reviews various recent approaches to cointegration analysis of seasonal time series. In addition to the usual decisions concerning data transformations and univariate time series properties, it is necessary to decide how seasonal variation is included in the multivariate model and how standard cointegration methods should accordingly be modified. Seasonal cointegration and periodic cointegration methods are discussed, as are some of their recent refinements. An overview of further research topics is also provided.

Additional Metadata
Keywords cointegration, seasonality, time series
Persistent URL dx.doi.org/10.1111/1467-6419.00070, hdl.handle.net/1765/2149
Journal Journal of Economic Surveys
Citation
Franses, Ph.H.B.F, & McAleer, M.J. (1998). Cointegration analysis of seasonal time series. Journal of Economic Surveys, 651–678. doi:10.1111/1467-6419.00070