Testing for the cointegration rank between periodically integrated processes

Abstract

[eng] A method is proposed for determining the cointegration rank between periodically integrated (PI) 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.