The applied perspective for seasonal cointegration testing
Autor(a) principal: | |
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Data de Publicação: | 1997 |
Outros Autores: | |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Economia Aplicada |
Texto Completo: | https://www.revistas.usp.br/ecoa/article/view/217563 |
Resumo: | While the literature on cointegration deals exclusively with the case of cointegration at the long-run or zero frequency between series in a vector of economic variables, it may happen that unit-roots are also present at the seasonal frequencies, and hence the concept of cointegration can be extended to the case of seasonal cointegration. In this paper we survey the available procedures for testing and estimating cointegration relationships at the seasonal frequencies, as well as at the zero frequency when seasonal unit-roots are present. A strong motivation for this is the lack of treatment of seasonal cointegration, even in the most recent books on cointegration. |
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Economia Aplicada |
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The applied perspective for seasonal cointegration testingThe applied perspective for seasonal cointegration testinganálise de séries temporaiscointegraçãosazonalidadeTime-series analysiscointegrationseasonalityWhile the literature on cointegration deals exclusively with the case of cointegration at the long-run or zero frequency between series in a vector of economic variables, it may happen that unit-roots are also present at the seasonal frequencies, and hence the concept of cointegration can be extended to the case of seasonal cointegration. In this paper we survey the available procedures for testing and estimating cointegration relationships at the seasonal frequencies, as well as at the zero frequency when seasonal unit-roots are present. A strong motivation for this is the lack of treatment of seasonal cointegration, even in the most recent books on cointegration.Enquanto a literatura sobre cointegração lida exclusivamente com o caso de cointegração no longo prazo, ou na frequência zero, entre séries em um vetor de variáveis econômicas, pode ser que raízes unitárias estejam também presentes nas frequências sazonais, de forma que o conceito de cointegração pode ser extendido para o caso de cointegração sazonal. Neste artigo, fazemos uma resenha dos procedimentos disponíveis para testar e estimar as relações de cointegração nas frequências sazonais, bem como na frequência zero, quando raízes unitárias sazonais estão presentes. Uma motivação importante para este trabalho é a falta de um tratamento sobre cointegração sazonal, mesmo nos livros-texto mais recentes sobre cointegração.Universidade de São Paulo, FEA-RP/USP1997-06-01info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionapplication/pdfhttps://www.revistas.usp.br/ecoa/article/view/21756310.11606/1413-8050/ea217563Economia Aplicada; Vol. 1 Núm. 2 (1997); 263-279Economia Aplicada; Vol. 1 No. 2 (1997); 263-279Economia Aplicada; v. 1 n. 2 (1997); 263-2791980-53301413-8050reponame:Economia Aplicadainstname:Universidade de São Paulo (USP)instacron:USPenghttps://www.revistas.usp.br/ecoa/article/view/217563/198946Copyright (c) 1997 Economia Aplicadahttp://creativecommons.org/licenses/by-nc/4.0info:eu-repo/semantics/openAccessOliveira, Andre Luis Rossi de Picchetti, Paulo 2023-10-24T22:26:08Zoai:revistas.usp.br:article/217563Revistahttps://www.revistas.usp.br/ecoaPUBhttps://www.revistas.usp.br/ecoa/oai||revecap@usp.br1980-53301413-8050opendoar:2023-10-24T22:26:08Economia Aplicada - Universidade de São Paulo (USP)false |
dc.title.none.fl_str_mv |
The applied perspective for seasonal cointegration testing The applied perspective for seasonal cointegration testing |
title |
The applied perspective for seasonal cointegration testing |
spellingShingle |
The applied perspective for seasonal cointegration testing Oliveira, Andre Luis Rossi de análise de séries temporais cointegração sazonalidade Time-series analysis cointegration seasonality |
title_short |
The applied perspective for seasonal cointegration testing |
title_full |
The applied perspective for seasonal cointegration testing |
title_fullStr |
The applied perspective for seasonal cointegration testing |
title_full_unstemmed |
The applied perspective for seasonal cointegration testing |
title_sort |
The applied perspective for seasonal cointegration testing |
author |
Oliveira, Andre Luis Rossi de |
author_facet |
Oliveira, Andre Luis Rossi de Picchetti, Paulo |
author_role |
author |
author2 |
Picchetti, Paulo |
author2_role |
author |
dc.contributor.author.fl_str_mv |
Oliveira, Andre Luis Rossi de Picchetti, Paulo |
dc.subject.por.fl_str_mv |
análise de séries temporais cointegração sazonalidade Time-series analysis cointegration seasonality |
topic |
análise de séries temporais cointegração sazonalidade Time-series analysis cointegration seasonality |
description |
While the literature on cointegration deals exclusively with the case of cointegration at the long-run or zero frequency between series in a vector of economic variables, it may happen that unit-roots are also present at the seasonal frequencies, and hence the concept of cointegration can be extended to the case of seasonal cointegration. In this paper we survey the available procedures for testing and estimating cointegration relationships at the seasonal frequencies, as well as at the zero frequency when seasonal unit-roots are present. A strong motivation for this is the lack of treatment of seasonal cointegration, even in the most recent books on cointegration. |
publishDate |
1997 |
dc.date.none.fl_str_mv |
1997-06-01 |
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/217563 10.11606/1413-8050/ea217563 |
url |
https://www.revistas.usp.br/ecoa/article/view/217563 |
identifier_str_mv |
10.11606/1413-8050/ea217563 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
https://www.revistas.usp.br/ecoa/article/view/217563/198946 |
dc.rights.driver.fl_str_mv |
Copyright (c) 1997 Economia Aplicada http://creativecommons.org/licenses/by-nc/4.0 info:eu-repo/semantics/openAccess |
rights_invalid_str_mv |
Copyright (c) 1997 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. 1 Núm. 2 (1997); 263-279 Economia Aplicada; Vol. 1 No. 2 (1997); 263-279 Economia Aplicada; v. 1 n. 2 (1997); 263-279 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 |
_version_ |
1800221692827533312 |