Tests of seasonal integration and cointegration in multivariate unobserved component models

Fabio Busetti ()

Journal of Applied Econometrics, 2006, vol. 21, issue 4, pages 419-438

Abstract: This paper considers tests of seasonal integration and cointegration for multivariate unobserved component models. First, the locally best invariant (LBI) test of the null hypothesis of a deterministic seasonal pattern against the alternative of seasonal integration is derived for a model with Gaussian i.i.d. disturbances and deterministic trend. Then the null hypothesis of seasonal cointegration is considered and a test for common nonstationary components at the seasonal frequencies is proposed. The tests are subsequently generalized to account for stochastic trends, weakly dependent errors and unattended unit roots. Asymptotic representations and critical values of the tests are provided, while the finite sample performance is evaluated by Monte Carlo simulation experiments. Finally, the tests are applied to the series of industrial production of the four largest countries of the European Monetary Union. It is found that Germany does not appear to cointegrate with the other countries at most seasonal frequencies, while there seems to exist a common nonstationary seasonal component between France, Italy and Spain. Copyright © 2006 John Wiley & Sons, Ltd.

Date: 2006
View list of references

Downloads: (external link)
http://hdl.handle.net/10.1002/jae.852 Link to full text; subscription required (text/html)
http://qed.econ.queensu.ca:80/jae/2006-v21.4/ Supporting data files and programs (text/html)

Related works:
Working Paper: Tests of seasonal integration and cointegration in multivariate unobserved component models (2004)
Working Paper: Tests of seasonal integration and cointegration in multivariate unobserved component models (2003)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:jae:japmet:v:21:y:2006:i:4:p:419-438

Ordering information: This journal article can be ordered from
http://www3.intersci ... e.jsp?issn=0883-7252

Access Statistics for this article

Journal of Applied Econometrics is edited by M. Hashem Pesaran

More articles in Journal of Applied Econometrics from John Wiley & Sons, Ltd.
Series data maintained by Christopher F. Baum ().