The applied perspective for seasonal cointegration testing: a supplementary note

Autores

  • Antonio Aguirre Universidade Federal de Minas Gerais. Faculdade de Ciencias Econômicas

DOI:

https://doi.org/10.11606/1413-8050/ea217794

Palavras-chave:

seasonal unit roots, deterministic seasonality, stochastic seasonality

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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Publicado

1998-08-20

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Como Citar

Aguirre, A. . (1998). The applied perspective for seasonal cointegration testing: a supplementary note. Economia Aplicada, 2(4), 743-755. https://doi.org/10.11606/1413-8050/ea217794