A simple GLS procedure for seasonal cointegration

DOI10.1016/J.JKSS.2015.03.001MaRDI QIDQ2515862zbMATH OpenOpenAlexFDO

Authors Byeongchan Seong

Publication date 7 August 2015

Published in Journal of the Korean Statistical Society (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jkss.2015.03.001

zbMATH Keywords

seasonal cointegrating rankseasonal error correction modelseasonal unit root

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

• Fully modified estimation of seasonally cointegrated processes
• Seasonal cointegration for monthly data
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• Seasonal cointegration. The Japanese consumption function (with discussion)
• A note on the critical values for the maximum likelihood (seasonal) cointegration tests

Cites work

• Bonferroni correction for seasonal cointegrating ranks
• Estimation of partially nonstationary vector autoregressive models with seasonal behavior
• scientific article; zbMATH DE number 5866275 (Why is no real title available?)
• scientific article; zbMATH DE number 2199188 (Why is no real title available?)
• Likelihood analysis of seasonal cointegration
• Structural changes in the cointegrated vector autoregressive model

Cited in

(4)

• Labour demand in Germany and seasonal cointegration
• Fully modified estimation of seasonally cointegrated processes
• Fully modified semiparametric GLS estimation for regressions with nonstationary seasonal regressors
• Small-sample improvements in the statistical analysis of seasonally cointegrated systems

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