We consider representation, estimation and inference on cointegration in a periodic vector autoregressive time series model (PVAR). We show that cointegration amounts to a restriction on a product of parameter matrices. We therefore use GMM to construct estimators of the long-run (cointegration)...

Parameters in ARMA models are only locally identified. It is shown that the use of diffuse priors in these models leads to a preference for locally nonidentified parameter values. We therefore suggest to use likelihood based priors like the Jeffreys' priors which overcome these problems. An...