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TESTS FOR SEASONAL COINTEGRATION USING PRINCIPAL COMPONENTS |
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| Authors: | Roselyne Joyeux |
| Affiliation: | Macquarie University |
| Abstract: | Abstract. Precise definitions of integrations at frequencies other than zero are given. New cointegration tests, which do not present the problems encountered in existing tests, are developed. They are a generalization of the latent root tests developed by Phillips and Ouliaris. |
| Keywords: | Cointegration error-correction terms seasonal unit roots latent root tests |