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A NOTE ON TESTING FOR SEASONAL COINTEGRATION USING PRINCIPAL COMPONENTS IN THE FREQUENCY DOMAIN
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An alternative solution to the Autoregressivity Paradox in time series analysis
No full textThis note concerns with the marginal models associated with a given vector autoregressive model. In
particular, it is shown that a reduction in the orders of the univariate ARMA marginal models can be
determined by the presence of variables integrated with different orders. The concepts and methods of the
paper are illustrated via an empirical investigation of the low-frequency properties of hours worked in the US
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