The applied perspective for seasonal cointegration testing: a supplementary note
In a recent issue of this journal the available procedures for testing and estimating cointegration relationships at the seasonal frequencies are surveyed. There it is recognized that prior knowledge about the presence of particular seasonal unit-roots is necessary, and two tests that provide this...
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| Format: | Article |
| Language: | Portuguese |
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Universidade de São Paulo
1998-08-01
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| Series: | Economia Aplicada |
| Subjects: | |
| Online Access: | https://www.revistas.usp.br/ecoa/article/view/217794 |
| _version_ | 1797648406598909952 |
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| author | Antonio Aguirre |
| author_facet | Antonio Aguirre |
| author_sort | Antonio Aguirre |
| collection | DOAJ |
| description |
In a recent issue of this journal the available procedures for testing and estimating cointegration relationships at the seasonal frequencies are surveyed. There it is recognized that prior knowledge about the presence of particular seasonal unit-roots is necessary, and two tests that provide this preliminary information are also surveyed, leaving out of this set a third test which is likely to be one with the highest power. This note tries to supplement the aforementioned paper by presenting the properties of the alternative (supposedly more powerful) test.
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| first_indexed | 2024-03-11T15:31:45Z |
| format | Article |
| id | doaj.art-04341aec61aa4c2ba6070a321039b197 |
| institution | Directory Open Access Journal |
| issn | 1413-8050 1980-5330 |
| language | Portuguese |
| last_indexed | 2024-03-11T15:31:45Z |
| publishDate | 1998-08-01 |
| publisher | Universidade de São Paulo |
| record_format | Article |
| series | Economia Aplicada |
| spelling | doaj.art-04341aec61aa4c2ba6070a321039b1972023-10-27T04:09:29ZporUniversidade de São PauloEconomia Aplicada1413-80501980-53301998-08-0124The applied perspective for seasonal cointegration testing: a supplementary noteAntonio Aguirre0Universidade Federal de Minas Gerais. Faculdade de Ciencias Econômicas In a recent issue of this journal the available procedures for testing and estimating cointegration relationships at the seasonal frequencies are surveyed. There it is recognized that prior knowledge about the presence of particular seasonal unit-roots is necessary, and two tests that provide this preliminary information are also surveyed, leaving out of this set a third test which is likely to be one with the highest power. This note tries to supplement the aforementioned paper by presenting the properties of the alternative (supposedly more powerful) test. https://www.revistas.usp.br/ecoa/article/view/217794seasonal unit rootsdeterministic seasonalitystochastic seasonality |
| spellingShingle | Antonio Aguirre The applied perspective for seasonal cointegration testing: a supplementary note Economia Aplicada seasonal unit roots deterministic seasonality stochastic seasonality |
| title | The applied perspective for seasonal cointegration testing: a supplementary note |
| title_full | The applied perspective for seasonal cointegration testing: a supplementary note |
| title_fullStr | The applied perspective for seasonal cointegration testing: a supplementary note |
| title_full_unstemmed | The applied perspective for seasonal cointegration testing: a supplementary note |
| title_short | The applied perspective for seasonal cointegration testing: a supplementary note |
| title_sort | applied perspective for seasonal cointegration testing a supplementary note |
| topic | seasonal unit roots deterministic seasonality stochastic seasonality |
| url | https://www.revistas.usp.br/ecoa/article/view/217794 |
| work_keys_str_mv | AT antonioaguirre theappliedperspectiveforseasonalcointegrationtestingasupplementarynote AT antonioaguirre appliedperspectiveforseasonalcointegrationtestingasupplementarynote |