We propose a seasonal cointegration model (SECM) for quarterly data which includes variables with different numbers of unit roots and thus needs to be transformed in different ways in order to yield stationarity. A Monte Carlo simulation is carried out to investigate the consequences of...

This paper develops an improved test of economic convergence or divergence using time series methods by introducing nonlinear trends in the form of logarithmic trend functions into the vector error correction model. The usefulness of the method is illustrated in an analysis of the growth pattern...

A dynamic time series LInear Structural RELation (LISREL) model is proposed for the analysis of stationary multivariate time series. The model is suitable not only for macro models, but also for panel data models. The implied covariance matrix is derived and it may be used in exact maximum...