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Testing for the cointegration rank between periodically integrated processes

Tomás del Barrio Castro

Econometrics and Statistics2025https://doi.org/10.1016/j.ecosta.2025.03.001article
ABDC B
Weight
0.50

What the paper says

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.

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https://doi.org/https://doi.org/10.1016/j.ecosta.2025.03.001

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@article{tomás2025,
  title        = {{Testing for the cointegration rank between periodically integrated processes}},
  author       = {Tomás del Barrio Castro},
  journal      = {Econometrics and Statistics},
  year         = {2025},
  doi          = {https://doi.org/https://doi.org/10.1016/j.ecosta.2025.03.001},
}

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Testing for the cointegration rank between periodically integrated processes

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Evidence weight

0.50

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.50 × 0.4 = 0.20
M · momentum0.50 × 0.15 = 0.07
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

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