Work

Testing for the cointegration rank between periodically integrated processes

Year: 2025

Type: article

Abstract: A method is proposed for determining the cointegration rank between periodically integrated ( P I ) processes using pseudo-demodulation. This transformation allows the application of the Canonical Correlation procedure to determining the cointegration rank. The performance of the method is evaluated through a Monte Carlo experiment, demonstrating its effectiveness in small samples. An empirical application using monthly data from the Industrial Production Index of the USA illustrates its implementation.

Source: Econometrics and Statistics

DOI: 10.1016/j.ecosta.2025.03.001

Author: Tomás del Barrio Castro

Institution: Universitat de les Illes Balears

Language: English

Topic: Monetary Policy and Economic Impact

Subfield: General Economics, Econometrics and Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: hybrid

Estimated APC paid: $2,140

Funder: Agencia Estatal de Investigación