Periodic correlation vs. integration and cointegration (Okresowa korelacja a integracja i kointegracja)

Ewa Broszkiewicz-Suwaj and Agnieszka Wyłomańska

No HSC/04/04, HSC Research Reports from Hugo Steinhaus Center, Wroclaw University of Science and Technology

Abstract: In this paper we present a new approach to integration and cointegration. We show that a periodically correlated time series can be divided in a natural way into subseries that are integrated. Moreover, with high probability they are cointegrated. Therefore it is enough to show periodic correlation of the original series to conclude that the subseries are integrated. In the first part of the paper we present the main features of periodically correlated processes and a method of detecting periodic correlation. We illustrate it using a data set of spot electricity prices from the Nord Pool Power Exchange. In the next section we show that the subseries (one for each day of the week) exhibit integration as well as cointegration.

Keywords: Cointegration; Integration; PARMA model; Periodic correlation (search for similar items in EconPapers)
JEL-codes: C51 C58 Q40 (search for similar items in EconPapers)
Pages: 9 pages
Date: 2004
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Published in Prace Naukowe Akademii Ekonomicznej we Wroc³awiu 1088 (2005) 83-89, in Polish.

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http://www.im.pwr.wroc.pl/~hugo/RePEc/wuu/wpaper/HSC_04_04.pdf Draft, 2004 (in Polish) (application/pdf)

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