3 datasets found

This paper extends the notion of common cycles to quarterly time series having unit roots both at the zero and seasonal frequencies. It is shown that common cycles are present...

The seasonal structure of quarterly UK and Japanese consumption and income is examined by means of fractionally based tests proposed by Robinson (1994). These series were...

This paper considers tests of seasonal integration and cointegration for multivariate unobserved component models. First, the locally best invariant (LBI) test of the null...