Journal of Econometrics
Выпуск N1 за 1990 год
Опубликовано на портале: 25-10-2007Svend Hylleberg, Robert F. Engle, Clive W. J. Granger, Byung Sam Yoo Journal of Econometrics. 1990. Vol. 44. No. 1. P. 215-238.
This paper develops tests for roots in linear time series which have a modulus of one but which correspond to seasonal frequencies. Critical values for the tests are generated by Monte Carlo methods or are shown to be available from Dickey-Fuller or Dickey-Hasza-Fuller critical values. Representations for multivariate processes with combinations of seasonal and zero-frequency unit roots are developed leading to a variety of autoregressive and error-correction representations. The techniques are used to examine cointegration at different frequencies between consumption and income in the U.K.