Nonstationary Time Series Analysis and Cointegration

By Colin P. Hargreaves | Go to book overview
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In concluding I am quite optimistic about the current development with the area of seasonal modelling. What needs to be done now is to combine good economic theory with adequate statistical models, but that this is a formidable task is well known. However, a promising beginning is Crutchfield and Zellner ( 1962), Ghysels ( 1984, 1988), Osborn ( 1988), Barsky and Miron ( 1989), Todd ( 1990) and Hansen and Sargent ( 1990, 1991).


BARSKY, R. B. and J. A. MIRON ( 1989), "'The Seasonal Cycle and the Business Cycle'", Journal of Political Economy, Vol. 97, No. 3, pp. 503-34, reprinted in HYLLEBERG ( 1992).

BEAULIEU, J. J. and J. A. MIRON ( 1990), "'The Seasonal Cycle in U.S. Manufacturing'", NBER Working Paper No. 3450.

BEAULIEU, J. J. and J. A. MIRON ( 1992), "'A Cross Country Comparison of Seasonal Cycles and Business Cycles'", Economic Journal, 102, pp. 772-88.

----- ( 1993), "'Seasonal Unit Roots in Aggregate U.S. Data'", Journal of Econometrics, 55, pp. 305-28.

BOX, G. E. P. and G. M. JENKINS ( 1970), Time Series Analysis: Forecasting and Control, San Francisco: Holden-Day.

BURRIDGE, P. and K. F. WALLIS ( 1984), "'Unobserved-Components Models for Seasonal Adjustment Filters'", Journal of Business and Economic Statistics, Vol. 2, No. 4, pp. 350-60, reprinted in HYLLEBERG ( 1992).

----- ( 1990), "'Seasonal adjustment and Kalman filtering: extension to periodic variances'". Journal of Business and Economic Statistics, 2, pp. 350-9, reprinted in HYLLEBERG ( 1992).

CANOVA, F. and B. E. HANSEN ( 1991), "'Are Seasonal Patterns Constant Over Time: A Test for Seasonal Stability'", Working Paper, Brown University and University of Rochester.

CRUTCHFIELD, J. and A. ZELLNER ( 1962), "'Analysis of port pricing of halibut: theoretical and empirical results'", chs. 6 and 7 in Economic Aspects of Halibut Fishery, United States Department of the Interior, Washington DC. Reprinted in HYLLEBERG ( 1992).

DICKEY, D. A., D. P. HASZA and W. A. FULLER ( 1984), "'Testing for Unit Roots in Seasonal Time Series'", Journal of the American Statistical Association, Vol. 79, No. 386, pp. 355-68, reprinted in HYLLEBERG ( 1992).

ENGLE, R. F. ( 1974), "'Band Spectrum Regression'", International Economic Review, Vol. 15, No. 1, pp. 1-12.

ENGLE, R. F. and C. W. J. GRANGER ( 1987), "'Co-Integration and Error Correction: Representation, Estimation and Testing'", Econometrica, Vol. 55, No. 2, pp. 251-77.

ENGLE, R. F. and B. S. YOO ( 1987), "'Forecasting and testing in co-integrated systems'", Journal of Econometrics, Vol. 35, No. 1, pp. 143-61.

ENGLE, R. F., C. W. J. GRANGER, S. HYLLEBERG and H. LEE ( 1993), "'Seasonal Cointegration: The Japanese Consumption Function'", Journal of Econometrics, 55, pp. 275-98.

ERICSSON, N., D. F. HENDRY and H. TRAN ( 1992), "'Cointegration, Seasonality, Encompassing and the Demand for Money in the United Kingdom'", Chapter 6 in this book.

FRANSES, P. H. ( 1990), "'Testing for Seasonal Unit Roots in Monthly Data'", Research Memorandum Series No. TI-1990/30, Tinbergen Institute, Erasmus University. Presented at ESEM, Barcelona.

----- ( 1991), "'A Multivariate Approach to Modeling Univariate Seasonal Time Series'", Working Paper, Erasmus University Rotterdam. Forthcoming, Journal of Econometrics.

FRANSES, P. H. and H. P. BOSWUK ( 1991), "'Testing for Periodic Cointegration'", Paper presented at 'Structure and Dynamics in Econometrics II', Tinbergen Institute.


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