The applied perspective for seasonal cointegration testing

Abstract

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.