Díaz-Emparanza, Ignacio; Fernández-Macho, Javier - In: Spanish Economic Review 8 (2006) 1, pp. 53-82
When working with vectors of time series which fluctuate regularly we may possibly want to consider the presence of common factors characterized by cyclical or seasonal behavior as well as trend. For example, Deaton89 provides a hint of a theoretical model where cointegration at the annual...