Cubadda, Gianluca - In: Journal of Applied Econometrics 14 (1999) 3, pp. 273-91
This paper extends the notion of common cycles to quarterly time series having unit roots both at the zero and seasonal frequencies. It is shown that common cycles are present in the Hylleberg-Engle-Granger-Yoo decomposition of these series when there exists a linear combination of their...