MULTIVARIATE TIME SERIES WITH VARIOUS HIDDEN UNIT ROOTS, PART II

This paper extends the statistical results obtained by Gregoir and Laroque (1994, Journal of Econometrics 63, 183-214). It develops statistical tools lo analyze multivariate lime series that can be represented under an autoregressive equation of finite order with various polynomial error correction terms at various frequencies with possibly a non-null delerministic part as introduced by Gregoir (1999, Econometric Theory- 15, 435-468). We propose an estimation procedure that proceeds through repealed applications of principal component analysis and a specification test for the omission of a polynomial relation of cointegration at each frequency.