A vector of quarters representation for bivariate time series
Philip Hans, Franses; Philip Hans, Franses; Erasmus University Rotterdam, Econometric Institute
Журнал:
Econometric Reviews
Дата:
1995
Аннотация:
In this paper it is shown that several models for a bivariate nonstationary quarterly time series are nested in a vector autoregression with cointegration restrictions for the eight annual series of quarterly observations. Or, the Granger Representation Theorem is extended to incorporate, e.g., seasonal and periodic cointegration.
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