Cointegration Analysis of Seasonal Time Series
综述了季节性时间序列协整分析的最新方法，包括季节性协整和周期协整，并讨论了数据变换、单变量性质及多元模型中的季节性处理，适合计量经济学和时间序列研究者参考。
This paper reviews various recent approaches to cointegration analysis of seasonal time series. In addition to the usual decisions concerning data transformations and univariate time series properties, it is necessary to decide how seasonal variation is included in the multivariate model and how standard cointegration methods should accordingly be modified. Seasonal cointegration and periodic cointegration methods are discussed, as are some of their recent refinements. An overview of further research topics is also provided.