This paper extends the notions of common cycles and common seasonal features to time series having deterministic and stochastic seasonality at different frequencies. The conditions under which quarterly time series with these characteristics have common features are investigated, various...

The aim of this paper is to study the concept of separability in multiple nonstationary time series displaying both common stochastic trends and common stochastic cycles. When modeling the dynamics of multiple time series for a panel of several entities such as countries, sectors, firms,...