Likelihood analysis of seasonal cointegration

DOI10.1016/S0304-4076(98)00034-7MaRDI QIDQ1305672zbMATH OpenWikidataFDO

Authors Ernst Schaumburg, Søren Johansen

Publication date 1999

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

Full work available at URL https://doi.org/10.1016/S0304-4076(98)00034-7

zbMATH Keywords

Serial correlationSimulationSlope shiftStructural changeUnit rootWald test

Mathematics Subject Classification ID

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

Recommendations

• Maximum likelihood inference on cointegration and seasonal cointegration
• Seasonal integration and cointegration
• Inference of seasonal cointegration with linear restrictions
• Likelihood ratio tests for seasonal unit roots
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• Fully modified estimation of seasonally cointegrated processes

Cited in

(23)

• Bonferroni correction for seasonal cointegrating ranks
• Sources of nonmonotonic power when testing for a shift in mean of a dynamic time series
• Cointegration analysis with state space models
• Seasonal cointegration and cross-equation restrictions on a forward-looking buffer stock model of money demand.
• Seasonal cointegration for monthly data
• Tests for real and complex unit roots in vector autoregressive models
• Asymptotic analysis of non-periodical cointegration with high seasonals
• Periodic and seasonal (co-)integration in the state space framework
• Alternative estimators and unit root tests for seasonal autoregressive processes
• Extended complex error correction models for seasonal cointegration
• A simple GLS procedure for seasonal cointegration
• Semiparametric seasonal cointegrating rank selection
• On cointegration for processes integrated at different frequencies
• Tests of integration in circular autoregressive models
• Modelling comovements of economic time series: a selective survey
• Change point tests for the tail index of -mixing random variables
• A general inversion theorem for cointegration
• Testing for time-varying factor loadings in high-dimensional factor models
• Testing for Changes in Forecasting Performance
• A New Class of Change Point Test Statistics of Rényi Type
• A note on Johansen's rank conditions and the Jordan form of a matrix
• The general solution to an autoregressive law of motion
• Small-sample improvements in the statistical analysis of seasonally cointegrated systems

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