Seasonal cointegration for monthly data
From MaRDI portal
Publication:1927440
DOI10.1016/j.econlet.2003.09.004zbMath1254.91650MaRDI QIDQ1927440
Publication date: 1 January 2013
Published in: Economics Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.econlet.2003.09.004
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
91B84: Economic time series analysis
Cites Work
- Seasonal integration and cointegration
- A note on the critical values for the maximum likelihood (seasonal) cointegration tests
- Statistical analysis of cointegration vectors
- The effect of seasonal adjustment filters on tests for a unit root (with discussion)
- Seasonal cointegration. The Japanese consumption function (with discussion)
- Seasonal unit roots in aggregate U.S. data (with discussion)
- Maximum likelihood inference on cointegration and seasonal cointegration
- Likelihood analysis of seasonal cointegration
- Testing for an unstable root in conditional and structural error correction models
- The Econometric Analysis of Seasonal Time Series
- TESTS FOR SEASONAL COINTEGRATION USING PRINCIPAL COMPONENTS
- A NOTE ON TESTING FOR SEASONAL COINTEGRATION USING PRINCIPAL COMPONENTS IN THE FREQUENCY DOMAIN