Maximum likelihood inference on cointegration and seasonal cointegration

DOI10.1016/0304-4076(92)90098-CzbMath0757.62058OpenAlexW2031420905MaRDI QIDQ1203081

Hahn S. Lee

Publication date: 4 February 1993

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(92)90098-c

zbMATH Keywords

Monte Carlo simulationcritical valuescointegrationunemploymentunit rootsmaximum likelihood inferencetesting proceduresnonstationary time seriesseasonally adjusted dataseasonal frequenciesseasonal cointegrationimmigration ratesCanadian dataexistence of cointegrating vectors

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Economic time series analysis (91B84)

Related Items (26)

Estimation of partially nonstationary vector autoregressive models with seasonal behavior ⋮ Cointegration analysis with state space models ⋮ Seasonal cointegration for monthly data ⋮ A NOTE ON TESTING FOR SEASONAL COINTEGRATION USING PRINCIPAL COMPONENTS IN THE FREQUENCY DOMAIN ⋮ Fully modified semiparametric GLS estimation for regressions with nonstationary seasonal regressors ⋮ Alternative estimators and unit root tests for seasonal autoregressive processes ⋮ Unnamed Item ⋮ Unnamed Item ⋮ A note on spurious regression in seasonal time series ⋮ A STATE SPACE CANONICAL FORM FOR UNIT ROOT PROCESSES ⋮ A note on the critical values for the maximum likelihood (seasonal) cointegration tests ⋮ Spurious deterministic seasonality ⋮ Small-sample improvements in the statistical analysis of seasonally cointegrated systems ⋮ FULLY MODIFIED ESTIMATION OF SEASONALLY COINTEGRATED PROCESSES ⋮ Inference of seasonal cointegration with linear restrictions ⋮ Testing for cointegration at any frequency using spectral methods ⋮ Extended complex error correction models for seasonal cointegration ⋮ COMMON FEATURES IN TIME SERIES WITH BOTH DETERMINISTIC AND STOCHASTIC SEASONALITY ⋮ Representation of Cointegrated Autoregressive Processes with Application to Fractional Processes ⋮ Modelling comovements of economic time series: a selective survey ⋮ COINTEGRATION FOR PERIODICALLY INTEGRATED PROCESSES ⋮ Asymptotic analysis of non-periodical cointegration with high seasonals ⋮ Empirically relevant critical values for hypothesis tests: A bootstrap approach ⋮ Testing the joint hypothesis of rationality and neutrality under seasonal cointegration: The case of Korea ⋮ Bonferroni correction for seasonal cointegrating ranks ⋮ Seasonal cointegration and cross-equation restrictions on a forward-looking buffer stock model of money demand.

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Seasonal integration and cointegration
• Statistical analysis of cointegration vectors
• Testing for cointegration using principal components methods
• Limiting distributions of least squares estimates of unstable autoregressive processes
• Seasonal cointegration. The Japanese consumption function (with discussion)
• Seasonal unit roots in aggregate U.S. data (with discussion)
• Testing for Common Trends
• Time Series Regression with a Unit Root
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Some results on multivariate autoregressive index models
• Testing for Unit Roots in Seasonal Time Series

This page was built for publication: Maximum likelihood inference on cointegration and seasonal cointegration