TESTS FOR SEASONAL COINTEGRATION USING PRINCIPAL COMPONENTS

Roselyne Joyeux

Journal of Time Series Analysis, 1992, vol. 13, issue 2, 109-118

Abstract: Abstract. Precise definitions of integrations at frequencies other than zero are given. New cointegration tests, which do not present the problems encountered in existing tests, are developed. They are a generalization of the latent root tests developed by Phillips and Ouliaris.

Date: 1992
References: Add references at CitEc
Citations: View citations in EconPapers (5)

Downloads: (external link)
https://doi.org/10.1111/j.1467-9892.1992.tb00097.x

Related works:
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: https://EconPapers.repec.org/RePEc:bla:jtsera:v:13:y:1992:i:2:p:109-118

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0143-9782

Access Statistics for this article

Journal of Time Series Analysis is currently edited by M.B. Priestley

More articles in Journal of Time Series Analysis from Wiley Blackwell
Bibliographic data for series maintained by Wiley Content Delivery ().