In this paper we extend the univariate periodic integration model to multivariate cointegrated time series. We analyze representation issues of a multivariate periodic model. We argue that simple adding an index s to the parameters in an otherwise nonperiodic Vector AutoRegression (VAR) leads to...

In this paper we analyze the sensitivity of unit root inference to nonlinear transformations through Bayesian techniques. We make joint inference about the Box-Cox transformation, which includes the cases yt and log(yt), and the unit root. When we apply our method to the fourteen Nelson-Plosser...

This note gives a few practical guidelines for cointegration analysis. The focus is on testing the cointegration rank in a VAR model and on how an intercept and a trend should be incorporated in the model. Only two cases appear relevant for most economic data.