A note on the critical values for the maximum likelihood (seasonal) cointegration tests

DOI10.1016/0165-1765(95)00655-YzbMath0875.90206OpenAlexW2059027640MaRDI QIDQ672562

Hahn S. Lee, Pierre L. Siklos

Publication date: 28 February 1997

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0165-1765(95)00655-y

zbMATH Keywords

Asymptotic distributionFinite sample distributionMaximum likelihood inferenceSeasonal cointegration

Mathematics Subject Classification ID

Inference from stochastic processes and spectral analysis (62M15) Economic time series analysis (91B84)

Related Items (3)

Seasonal cointegration for monthly data ⋮ Extended complex error correction models for seasonal cointegration ⋮ Bonferroni correction for seasonal cointegrating ranks

Cites Work

• Statistical analysis of cointegration vectors
• Maximum likelihood inference on cointegration and seasonal cointegration
• Systematic sampling, temporal aggregation, seasonal adjustment, and cointegration. Theory and evidence
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models

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