Tests of seasonal integration and cointegration in multivariate unobserved component models

Fabio Busetti

Econometrics from University Library of Munich, Germany

Abstract: The paper considers tests of seasonal integration and cointegration for multivariate time series. 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. A test of seasonal cointegration is then proposed, which parallels the common trend test of Nyblom and Harvey (2000). 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. We apply the tests to the indices of industrial production of the four largest countries of the European Monetary Union. We find evidence that Germany does not cointegrate with the other countries, while there seems to exist a common nonstationary seasonal component between France, Italy and Spain.

Keywords: Common components; Locally best invariant test; Seasonal unit roots (search for similar items in EconPapers)
JEL-codes: C12 C32 (search for similar items in EconPapers)
Pages: 35 pages
Date: 2004-11-05
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-ifn
Note: Type of Document - pdf; pages: 35
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Related works:
Journal Article: Tests of seasonal integration and cointegration in multivariate unobserved component models (2006)
Journal Article: Tests of seasonal integration and cointegration in multivariate unobserved component models (2006)
Working Paper: Tests of seasonal integration and cointegration in multivariate unobserved component models (2003)
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Persistent link: https://EconPapers.repec.org/RePEc:wpa:wuwpem:0411003

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