Testing for the cointegration rank between periodically integrated processes

Tomás del Barrio Castro

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dc.contributor.author	Tomás del Barrio Castro
dc.date.accessioned	2025-05-06T12:17:58Z
dc.date.available	2025-05-06T12:17:58Z
dc.identifier.citation	del Barrio Castro, T. (2025). Testing for the cointegration rank between periodically integrated processes. Econometrics and Statistics. https://doi.org/10.1016/j.ecosta.2025.03.001	ca
dc.identifier.uri	http://hdl.handle.net/11201/170151
dc.description.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.	en
dc.format	application/pdf	en
dc.publisher	Elsevier
dc.relation.ispartof	Econometrics and Statistics, 2025
dc.rights	all rights reserved
dc.subject.classification	311 - Estadística
dc.subject.classification	33 - Economia
dc.subject.other	311 - Statistics as a science. Statistical theory
dc.subject.other	33 - Economics. Economic science
dc.title	Testing for the cointegration rank between periodically integrated processes	en
dc.type	info:eu-repo/semantics/article
dc.type	info:eu-repo/semantics/acceptedVersion
dc.type	Article
dc.date.updated	2025-05-06T12:17:58Z
dc.rights.accessRights	info:eu-repo/semantics/openAccess
dc.identifier.doi	https://doi.org/10.1016/j.ecosta.2025.03.001