MULTIVARIATE TIME SERIES WITH VARIOUS HIDDEN UNIT ROOTS, PART II
扩展了Gregoir和Laroque(1994)的统计结果，开发了分析具有多种多项式误差修正项和确定性部分的多元时间序列的工具，通过主成分分析和规范检验进行估计。
This paper extends the statistical results obtained by Gregoir and Laroque (1994, Journal of Econometrics 63, 183–214). It develops statistical tools to analyze multivariate time series that can be represented under an autoregressive equation of finite order with various polynomial error correction terms at various frequencies with possibly a non-null deterministic part as introduced by Gregoir (1999, Econometric Theory 15, 435–468). We propose an estimation procedure that proceeds through repeated applications of principal component analysis and a specification test for the omission of a polynomial relation of cointegration at each frequency.