Testing for the cointegration rank between Periodically Integrated processes

Tomás del Barrio Castro

MPRA Paper from University Library of Munich, Germany

Abstract: Cointegration between Periodically Integrated (PI) processes has been analyzed among other by Birchen- hall, Bladen-Hovell, Chui, Osborn, and Smith (1989), Boswijk and Franses (1995), Franses and Paap (2004), Kleibergen and Franses (1999) and del Barrio Castro and Osborn (2008). However, so far there is not a method, published in an academic journal, that allows us to determine the cointegration rank between PI processes. This paper fills the gap, a method to determine the cointegration rank between a set PI Processes based on the idea of pseudo-demodulation is proposed in the context of Seasonal Cointegration by del Barrio Castro, Cubadda and Osborn (2020). Once a pseudo-demodulation time series is obtained the Johansen (1995) procedure could be applied to determine the cointegration rank. A Monte Carlo experiment shows that the proposed approach works satisfactorily for small samples.

Keywords: Reduced Rank Regression; Periodic Cointegration; Periodically Integrated Processes. (search for similar items in EconPapers)
JEL-codes: C32 (search for similar items in EconPapers)
Date: 2021, Revised 2021
New Economics Papers: this item is included in nep-ecm and nep-ets
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Working Paper: Testing for the cointegration rank between Periodically Integrated processes (2022)
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