Premium
TESTS FOR SEASONAL COINTEGRATION USING PRINCIPAL COMPONENTS
Author(s) -
Joyeux Roselyne
Publication year - 1992
Publication title -
journal of time series analysis
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.576
H-Index - 54
eISSN - 1467-9892
pISSN - 0143-9782
DOI - 10.1111/j.1467-9892.1992.tb00097.x
Subject(s) - cointegration , mathematics , generalization , econometrics , principal component analysis , unit root , zero (linguistics) , principal (computer security) , statistics , mathematical analysis , computer science , linguistics , philosophy , operating system
. Precise definitions of integrations at frequencies other than zero are given. New cointegration tests, which do not present the problems encountered in existing tests, are developed. They are a generalization of the latent root tests developed by Phillips and Ouliaris.