Asymptotic analysis of non-periodical cointegration with high seasonals

DOI10.1007/S40590-018-0201-2MaRDI QIDQ2316792zbMATH OpenOpenAlexWikidataFDO

Authors David A. Dickey, Nelson Muriel, Graciela González-Farías

Publication date 7 August 2019

Published in Boletín de la Sociedad Matemática Mexicana. Third Series (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s40590-018-0201-2

zbMATH Keywords

asymptotic approximationcointegrationnonstationarityperiodicity

Mathematics Subject Classification ID

Time series analysis of dynamical systems (37M10) Parametric hypothesis testing (62F03) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to biology and medical sciences; meta analysis (62P10) Applications of statistics to environmental and related topics (62P12)

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Cites work

• A method to select between periodic cointegration and seasonal cointegration
• Distribution of the largest eigenvalue for real Wishart and Gaussian random matrices and a simple approximation for the Tracy-Widom distribution
• scientific article; zbMATH DE number 3886886 (Why is no real title available?)
• scientific article; zbMATH DE number 3393603 (Why is no real title available?)
• Likelihood analysis of seasonal cointegration
• Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
• Maximum likelihood inference on cointegration and seasonal cointegration
• On the classical choice of variance stabilizing transformations and an application for a Poisson variate
• Periodic Time Series Models
• Seasonal integration and cointegration
• Seasonal unit root tests in long periodicity cases
• Seasonal unit roots in aggregate U.S. data (with discussion)
• Some matrix-variate distribution theory: Notational considerations and a Bayesian application

Cited in

(1)

• Testing cointegrating relationships using irregular and non-contemporaneous series with an application to paleoclimate data

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