Chapter

Multivariate periodic time series models

Philip Hans Franses and Richard Paap

in Periodic Time Series Models

Published in print March 2004 | ISBN: 9780199242023
Published online August 2004 | e-ISBN: 9780191601286 | DOI: http://dx.doi.org/10.1093/019924202X.003.0005

Series: Advanced Texts in Econometrics

 Multivariate periodic time series models

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In Chapter 5 we extend all material in Chapter 4 of the book to the case of more than a single time series. It turns out that in principle it is easy to extend univariate periodic models, by simply adding a subscript s, but that subsequent models can be cumbersome, if not impossible, to analyze for unit roots. Hence, we first outline various representations and discuss which ones are more useful than others in different situations. We devote two sections to the topic of testing for cointegration in periodic models, and indicate how one can best proceed in practice. In the first section we consider a single-equation approach, while in the second section we opt for a full-system approach based on GMM estimation. We illustrate both approaches using two quarterly US industrial production series.

Keywords: Periodic cointegration; single-equation methods; full-system approach

Chapter.  11204 words.  Illustrated.

Subjects: Econometrics and Mathematical Economics

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