Common cycles in seasonally cointegrated time series
โ 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.
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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
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