Title: Testing for the cointegration rank between periodically integrated processes
Authors: Tomas del Barrio Castro - University of the Balearic Islands (Spain) [presenting]
Abstract: Cointegration between periodically integrated (PI) processes has been widely analyzed. However, there is currently no method that allows us to determine the cointegration rank between PI processes. A method is proposed for determining the cointegration rank between a set of PI processes based on the idea of pseudo-demodulation, as proposed recently in the context of seasonal cointegration previously. Once a pseudo-demodulated time series is obtained, a previous procedure can be applied to determine the cointegration rank. A Monte Carlo experiment shows that the proposed approach works satisfactorily for small samples.