Simula@bi - Testing for the cointegration rank between periodically integrated processes

Speaker: Dr. Tomás Del Barrio Castro

  • Starter:12.00, 24. januar 2023
  • Slutter:13.00, 24. januar 2023
  • Sted:BI Campus Oslo, C2-065
  • Kontakt:Siri Johnsen (siri.johnsen@bi.no)
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Cointegration between periodically integrated (PI) processes has been analyzed by many, including Bladen-Hovell, Chui, Osborn, and Smith (1989), Boswijk and Franses (1995), Franses and Paap (2004), Kleibergen and Franses (1999) and del Barrio Castro and Osborn (2008), to name a few. However, there is currently no published method that allows us to determine the cointegration rank between P I processes.

The present paper Ölls this gap in the literature with a method for determining the cointegration rank between a set of P I processes based on the idea of pseudo-demodulation, as proposed in the context of seasonal cointegration by del Barrio Castro, Cubadda, and Osborn (2020).

Once a pseudodemodulated time series is obtained, the Johansen (1995) procedure can be applied to determine the cointegration rank. A Monte Carlo experiment shows that the proposed approach works satisfactorily for small samples.