Franses, Philip Hans; Kunst, Kunst, R.M. - Faculteit der Economische Wetenschappen, Erasmus … - 1998
In the paper we consider the role of seasonal intercepts in seasonal cointegration analysis. For the nonseasonal unit root, such intercepts can generate a stochastic trend with a drift common to all observations. For the seasonal unit roots, however, we show that unrestricted seasonal intercepts...