Is In this paper we provide a detailed analysis of the impact of persistent cycles on the well-known semi-parametric unit root tests of Phillips and Perron (1988, Biometrika 75, 335.346). It is shown analytically and through Monte Carlo simulations that the presence of complex (near) unit roots...

We analyze the asymptotic distributions associated with the seasonal unit root tests of the Hylleberg et al. (1990) procedure for quarterly data when the innovations follow a moving average process. Although both the t- and F-type tests suffer from scale and shift effects compared with the...

This paper explores the possibility of cointegration existing between processes integrated at di¤erent frequencies. Using the demodulator operator, we show that such cointegration can exist and explore its form using both complex- and real-valued representations. A straightforward approach to...

This paper explores the possibility of cointegration existing between processes integrated at di¤erent frequencies. Using the demodulator operator, we show that such cointegration can exist and explore its form using both complex- and real-valued representations. A straightforward approach to...

Seasonality is pervasive across a wide range of economic time series and it substantially complicates the analysis of unit root non-stationarity in such series. This paper reviews recent contributions to the literature on non-stationary seasonal processes, focussing on periodically integrated (P...

This paper explores the possibility of cointegration existing between processes integrated at different frequencies. Using the demodulator operator, we show that such cointegration can exist and explore its form using both complex- and real-valued representations. A straightforward approach to...

This paper identifies and estimates the relevant cycles in paleoclimate data of earth temperature, ice volume and CO2. Cyclical cointegration analysis is used to connect these cycles to the earth eccentricity and obliquity and to see that the earth surface temperature and ice volume are closely...

A simulation assisted learning method is introduced to deal with students’ misconceptions concerning the properties of estimators; bias, efficiency and consistency. The design of the exercise is based on cognitive conflict theory, i.e. the simulations provide contradictory information to...