The applied perspective for seasonal cointegration testing: a supplementary note

Detalhes bibliográficos
Autor(a) principal: Aguirre, Antonio
Data de Publicação: 1998
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Economia Aplicada
Texto Completo: https://www.revistas.usp.br/ecoa/article/view/217794
Resumo: In a recent issue of this journal the available procedures for testing and estimating cointegration relationships at the seasonal frequencies are surveyed. There it is recognized that prior knowledge about the presence of particular seasonal unit-roots is necessary, and two tests that provide this preliminary information are also surveyed, leaving out of this set a third test which is likely to be one with the highest power. This note tries to supplement the aforementioned paper by presenting the properties of the alternative (supposedly more powerful) test.
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spelling The applied perspective for seasonal cointegration testing: a supplementary noteseasonal unit rootsdeterministic seasonalitystochastic seasonalityIn a recent issue of this journal the available procedures for testing and estimating cointegration relationships at the seasonal frequencies are surveyed. There it is recognized that prior knowledge about the presence of particular seasonal unit-roots is necessary, and two tests that provide this preliminary information are also surveyed, leaving out of this set a third test which is likely to be one with the highest power. This note tries to supplement the aforementioned paper by presenting the properties of the alternative (supposedly more powerful) test.Universidade de São Paulo, FEA-RP/USP1998-08-20info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionapplication/pdfhttps://www.revistas.usp.br/ecoa/article/view/21779410.11606/1413-8050/ea217794Economia Aplicada; Vol. 2 Núm. 4 (1998); 743-755Economia Aplicada; Vol. 2 No. 4 (1998); 743-755Economia Aplicada; v. 2 n. 4 (1998); 743-7551980-53301413-8050reponame:Economia Aplicadainstname:Universidade de São Paulo (USP)instacron:USPenghttps://www.revistas.usp.br/ecoa/article/view/217794/199140Copyright (c) 1998 Economia Aplicadahttp://creativecommons.org/licenses/by-nc/4.0info:eu-repo/semantics/openAccessAguirre, Antonio 2023-10-26T18:06:14Zoai:revistas.usp.br:article/217794Revistahttps://www.revistas.usp.br/ecoaPUBhttps://www.revistas.usp.br/ecoa/oai||revecap@usp.br1980-53301413-8050opendoar:2023-10-26T18:06:14Economia Aplicada - Universidade de São Paulo (USP)false
dc.title.none.fl_str_mv The applied perspective for seasonal cointegration testing: a supplementary note
title The applied perspective for seasonal cointegration testing: a supplementary note
spellingShingle The applied perspective for seasonal cointegration testing: a supplementary note
Aguirre, Antonio
seasonal unit roots
deterministic seasonality
stochastic seasonality
title_short The applied perspective for seasonal cointegration testing: a supplementary note
title_full The applied perspective for seasonal cointegration testing: a supplementary note
title_fullStr The applied perspective for seasonal cointegration testing: a supplementary note
title_full_unstemmed The applied perspective for seasonal cointegration testing: a supplementary note
title_sort The applied perspective for seasonal cointegration testing: a supplementary note
author Aguirre, Antonio
author_facet Aguirre, Antonio
author_role author
dc.contributor.author.fl_str_mv Aguirre, Antonio
dc.subject.por.fl_str_mv seasonal unit roots
deterministic seasonality
stochastic seasonality
topic seasonal unit roots
deterministic seasonality
stochastic seasonality
description In a recent issue of this journal the available procedures for testing and estimating cointegration relationships at the seasonal frequencies are surveyed. There it is recognized that prior knowledge about the presence of particular seasonal unit-roots is necessary, and two tests that provide this preliminary information are also surveyed, leaving out of this set a third test which is likely to be one with the highest power. This note tries to supplement the aforementioned paper by presenting the properties of the alternative (supposedly more powerful) test.
publishDate 1998
dc.date.none.fl_str_mv 1998-08-20
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv https://www.revistas.usp.br/ecoa/article/view/217794
10.11606/1413-8050/ea217794
url https://www.revistas.usp.br/ecoa/article/view/217794
identifier_str_mv 10.11606/1413-8050/ea217794
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv https://www.revistas.usp.br/ecoa/article/view/217794/199140
dc.rights.driver.fl_str_mv Copyright (c) 1998 Economia Aplicada
http://creativecommons.org/licenses/by-nc/4.0
info:eu-repo/semantics/openAccess
rights_invalid_str_mv Copyright (c) 1998 Economia Aplicada
http://creativecommons.org/licenses/by-nc/4.0
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Universidade de São Paulo, FEA-RP/USP
publisher.none.fl_str_mv Universidade de São Paulo, FEA-RP/USP
dc.source.none.fl_str_mv Economia Aplicada; Vol. 2 Núm. 4 (1998); 743-755
Economia Aplicada; Vol. 2 No. 4 (1998); 743-755
Economia Aplicada; v. 2 n. 4 (1998); 743-755
1980-5330
1413-8050
reponame:Economia Aplicada
instname:Universidade de São Paulo (USP)
instacron:USP
instname_str Universidade de São Paulo (USP)
instacron_str USP
institution USP
reponame_str Economia Aplicada
collection Economia Aplicada
repository.name.fl_str_mv Economia Aplicada - Universidade de São Paulo (USP)
repository.mail.fl_str_mv ||revecap@usp.br
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