COINTEGRATION FOR PERIODICALLY INTEGRATED PROCESSES
COINTEGRATION FOR PERIODICALLY INTEGRATED PROCESSES
复制标题
定期集成流程的协同集成
作者：
Tomás del Barrio Castro;D. Osborn
季节时间序列的积分可以采用季节周期积分或非周期积分的形式。当季节性时间序列是周期性整合，我们表明，任何协整是完全周期性协整或完全非周期性协整，协整只适用于某些季节的可能性是没有的。相反，季节性整合序列可以是季节性的，周期性的或非周期性的协整，协整的可能性适用于一个子集的季节。分析了周期整序列的协整检验。基于残差的测试进行了检查，其渐近分布的零假设下，没有协整。蒙特卡洛分析表明，在尺寸和功率方面具有良好的性能。确定性条款的协整检验回归的作用进行了研究。进一步，我们证明了Boswijk和Franses导出的周期协整误差修正检验的渐近分布（1995，Review of Economics and Statistics 77，436-454）不适用于周期性整合过程。作者感谢2005年9月至10月在阿尔戈斯大学举行的单位根和协整检验会议上与会者的评论，他们还特别感谢两位匿名审稿人和赫尔穆特·吕特克波尔（Helmut Lütkepohl，本期《计量经济学理论》的共同编辑）的建设性意见，这些意见大大提高了论文结果的普遍性。Tomás del Barrio Castro感谢Ministerio de Educación y Ciudad SEJ 2005 -07781/ECON的财政支持。
Integration for seasonal time series can take the form of seasonal periodic or nonperiodic integration. When seasonal time series are periodically integrated, we show that any cointegration is either full periodic cointegration or full nonperiodic cointegration, with no possibility of cointegration applying for only some seasons. In contrast, seasonally integrated series can be seasonally, periodically or nonperiodically cointegrated, with the possibility of cointegration applying for a subset of seasons. Cointegration tests are analyzed for periodically integrated series. A residual-based test is examined, and its asymptotic distribution is derived under the null hypothesis of no cointegration. A Monte Carlo analysis shows good performance in terms of size and power. The role of deterministic terms in the cointegrating test regression is also investigated. Further, we show that the asymptotic distribution of the error-correction test for periodic cointegration derived by Boswijk and Franses (1995, Review of Economics and Statistics 77, 436–454) does not apply for periodically integrated processes.The authors gratefully acknowledge the comments of participants at the conference on Unit Root and Cointegration Testing, University of the Algave, September–October 2005, and they particularly thank two anonymous referees and Helmut Lütkepohl (co-editor of this issue of Econometric Theory) for their constructive comments, which have substantially improved the generality of the results in the paper. Tomás del Barrio Castro acknowledges financial support from Ministerio de Educación y Ciencia SEJ2005-07781/ECON.