Inference of seasonal cointegration with linear restrictions
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Publication:5433112
DOI10.1080/10629360600569436zbMath1202.62123MaRDI QIDQ5433112
Sinsup Cho, Byeongchan Seong, Sung K. Ahn
Publication date: 19 December 2007
Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/10629360600569436
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62E20: Asymptotic distribution theory in statistics
62F03: Parametric hypothesis testing
62F10: Point estimation
Cites Work
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- Estimation of partially nonstationary vector autoregressive models with seasonal behavior
- A small sample correction for tests of hypotheses on the cointegrating vectors
- Nested Reduced-Rank Autogressive Models for Multiple Time Series
- Elements of multivariate time series analysis.