Seasonal integration and cointegration

  • Authors:

  • S. Hylleberg;R. F. Engle;C. W. J. Granger;B. S. Yoo

  • Affiliations:

  • Department of Economics, University of Aarhus, Aarhus, Denmark;Department of Economics, University of California, San Diego, La Jolla, CA;Department of Economics, University of California, San Diego, La Jolla, CA;Yonsei University, Seoul, South Korea

  • Venue:
  • Essays in econometrics
  • Year:
  • 2001

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Abstract

This paper develops tests for roots in linear time series which have a modulus of one but which correspond to seasonal frequencies. Critical values for the tests are generated by Monte Carlo methods or are shown to be available from Dickey-Fuller or Dickey-Hasza-Fuller critical values. Representations for multivariate processes with combinations of seasonal and zero-frequency unit roots are developed leading to a variety of autoregressive and error-correction representations. The techniques are used to examine cointegration at different frequencies between consumption and income in the U.K.