Fully modified estimation of seasonally cointegrated processes
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Cites work
- A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems
- Additional critical values and asymptotic representations for seasonal unit root tests
- Asymptotic properties of multivariate nonstationary processes with applications to autoregressions
- Asymptotics for linear processes
- Automatic Lag Selection in Covariance Matrix Estimation
- Canonical Cointegrating Regressions
- COMPLEX UNIT ROOTS AND BUSINESS CYCLES: ARE THEY REAL?
- Efficient Tests for an Autoregressive Unit Root
- Efficient tests for the presence of a pair of complex conjugate unit roots in real time series
- Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
- scientific article; zbMATH DE number 3357844 (Why is no real title available?)
- Limiting distributions of least squares estimates of unstable autoregressive processes
- Maximum likelihood inference on cointegration and seasonal cointegration
- MULTIVARIATE TIME SERIES WITH VARIOUS HIDDEN UNIT ROOTS, PART I
- On the Robustness of Cointegration Methods When Regressors Almost Have Unit Roots
- Optimal Inference in Cointegrated Systems
- Polynomial cointegration. Estimation and test
- Seasonal cointegration. The Japanese consumption function (with discussion)
- Seasonal integration and cointegration
- Statistical Analysis Based on a Certain Multivariate Complex Gaussian Distribution (An Introduction)
- Statistical analysis of cointegration vectors
- Statistical Inference in Instrumental Variables Regression with I(1) Processes
- Stochastic linear trends. Models and estimators
- Testing for a unit root in time series regression
- Testing for nonstationary parameter specifications in seasonal time series models
- Testing for Unit Roots in Seasonal Time Series
- Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
- Tests for Unit Roots and the Initial Condition
Cited in
(15)- Likelihood analysis of seasonal cointegration
- Estimation of partially nonstationary vector autoregressive models with seasonal behavior
- Relative efficiency of OLSE and COTE for seasonal autoregressive disturbances
- Seasonal cointegration for monthly data
- Periodic and seasonal (co-)integration in the state space framework
- Extended complex error correction models for seasonal cointegration
- A simple GLS procedure for seasonal cointegration
- Cointegrating polynomial regressions: fully modified OLS estimation and inference
- Minimax interpolation of sequences with stationary increments and cointegrated sequences
- scientific article; zbMATH DE number 1208132 (Why is no real title available?)
- Fully Modified Least Squares and Vector Autoregression
- Temporal aggregation of seasonally near-integrated processes
- On cointegration for processes integrated at different frequencies
- 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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