Testing the joint hypothesis of rationality and neutrality under seasonal cointegration: The case of Korea

DOI10.1016/0304-4076(95)01758-5MaRDI QIDQ2565045zbMATH OpenOpenAlexFDO

Authors Luigi Ermini, Dongkoo Chang

Publication date 7 January 1997

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

Full work available at URL http://hdl.handle.net/1814/486

zbMATH Keywords

money neutralityseasonal cointegration

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Statistical methods; economic indices and measures (91B82) Economic time series analysis (91B84)

Recommendations

• Seasonal cointegration. The Japanese consumption function (with discussion)
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• Seasonal integration and cointegration

Cites work

• scientific article; zbMATH DE number 4047369 (Why is no real title available?)
• scientific article; zbMATH DE number 3565994 (Why is no real title available?)
• scientific article; zbMATH DE number 1898277 (Why is no real title available?)
• scientific article; zbMATH DE number 4185355 (Why is no real title available?)
• A Stastistical Analysis of Cointegration for I(2) Variables
• Five alternative methods of estimating long-run equilibrium relationships
• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
• Maximum likelihood inference on cointegration and seasonal cointegration
• Seasonal cointegration. The Japanese consumption function (with discussion)
• Seasonal integration and cointegration
• Statistical analysis of cointegration vectors
• Stochastic linear trends. Models and estimators
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
• The effect of seasonal adjustment filters on tests for a unit root (with discussion)
• Time series analysis and simultaneous equation econometric models

Cited in

(2)

• Seasonal cointegration and cross-equation restrictions on a forward-looking buffer stock model of money demand.
• Seasonally and approximation errors in rational expectations models

Describes a project that uses

Uses Software

• SAS/ETS
• SAS

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