๐”– Bobbio Scriptorium
โœฆ   LIBER   โœฆ

Common cycles in seasonally cointegrated time series

โœ Scribed by Sung K. Ahn


Book ID
117332873
Publisher
Elsevier Science
Year
1996
Tongue
English
Weight
358 KB
Volume
53
Category
Article
ISSN
0165-1765

No coin nor oath required. For personal study only.


๐Ÿ“œ SIMILAR VOLUMES


Common cycles in seasonal non-stationary
โœ Gianluca Cubadda ๐Ÿ“‚ Article ๐Ÿ“… 1999 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 209 KB

This paper extends the notion of common cycles to quarterly time series having unit roots both at the zero and seasonal frequencies. It is shown that common cycles are present in the HyllebergยฑEngleยฑGrangerยฑYoo decomposition of these series when there exists a linear combination of their seasonal di

The impact of seasonal constants on fore
โœ Robert M. Kunst; Philip Hans Franses ๐Ÿ“‚ Article ๐Ÿ“… 1998 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 240 KB

In this paper we focus on the eect of (i) deleting, (ii) restricting or (iii) not restricting seasonal intercept terms on forecasting sets of seasonally cointegrated macroeconomic time series for Austria, Germany and the UK. A ยฎrst empirical result is that the number of cointegrating vectors as well