Cointegration Analysis of Seasonal Time Series

C-Tier
Journal: Journal of Economic Surveys
Year: 1998
Volume: 12
Issue: 5
Pages: 651-678

Score contribution per author:

0.503 = (α=2.01 / 2 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

This paper reviews various recent approaches to cointegration analysis of seasonal time series. In addition to the usual decisions concerning data transformations and univariate time series properties, it is necessary to decide how seasonal variation is included in the multivariate model and how standard cointegration methods should accordingly be modified. Seasonal cointegration and periodic cointegration methods are discussed, as are some of their recent refinements. An overview of further research topics is also provided.

Technical Details

RePEc Handle
repec:bla:jecsur:v:12:y:1998:i:5:p:651-678
Journal Field
General
Author Count
2
Added to Database
2026-01-25