Periodic cointegration

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younesbenzaied
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Joined: Sat Apr 18, 2015 2:50 pm

Periodic cointegration

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Hi

I look for a procedure to calculate the Fisher statistics Fper or LR to test for periodic integration of quarterly time series :shock: .
A test method was developed by Boswijk and Franses (1996) journal of time series


thank you
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