The applied perspective for seasonal cointegration testing

Detalhes bibliográficos
Autor(a) principal: Oliveira, Andre Luis Rossi de
Data de Publicação: 1997
Outros Autores: Picchetti, Paulo
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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spelling 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
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