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- W4248828506 endingPage "124" @default.
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- W4248828506 abstract "Abstract In Chapter 5 we extend all material in Chapter 4 of the book to the case of more than a single time series. It turns out that in principle it is easy to extend univariate periodic models, by simply adding a subscript s, but that subsequent models can be cumbersome, if not impossible, to analyze for unit roots. Hence, we first outline various representations and discuss which ones are more useful than others in different situations. We devote two sections to the topic of testing for cointegration in periodic models, and indicate how one can best proceed in practice. In the first section we consider a single-equation approach, while in the second section we opt for a full-system approach based on GMM estimation. We illustrate both approaches using two quarterly US industrial production series." @default.
- W4248828506 created "2022-05-12" @default.
- W4248828506 creator A5003388550 @default.
- W4248828506 creator A5064321959 @default.
- W4248828506 date "2004-03-25" @default.
- W4248828506 modified "2023-09-23" @default.
- W4248828506 title "Multivariate periodic time series models" @default.
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