This paper introduces a new representation for seasonally cointegrated variables, namely the complex error correction model, which allows statistical inference to be performed by reduced rank regression. The suggested estimators and tests statistics are asymptotically equivalent to their maximum...

This paper proposes a reduced rank regression framework for constructing a coincident index (CI) and a leading index (LI). Based on a formal definition that requires that the first differences of the LI are the best linear predictor of the first differences of the CI, it is shown that the notion...

This paper contributes to the econometric literature on structural breaks by proposing a test for parameter stability in vector autoregressive (VAR) models at a particular frequency "ω", where "ω"  is an element of  [0, "π"]. When a dynamic model is affected by a structural break, the...

Panel unit-root and no-cointegration tests that rely on cross-sectional independence of the panel unit experience severe size distortions when this assumption is violated, as has, for example, been shown by Banerjee, Marcellino and Osbat ["Econometrics Journal" (2004), Vol. 7, pp. 322-340;...