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

DOI10.1016/0165-1765(95)00655-YMaRDI QIDQ672562zbMATH OpenOpenAlexFDO

Authors 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)

Recommendations

• Maximum likelihood inference on cointegration and seasonal cointegration
• Seasonal cointegration for monthly data
• Seasonal cointegration. The Japanese consumption function (with discussion)

Cites work

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

Cited in

(6)

• Bonferroni correction for seasonal cointegrating ranks
• Maximum likelihood inference on cointegration and seasonal cointegration
• Likelihood analysis of seasonal cointegration
• Seasonal cointegration for monthly data
• Extended complex error correction models for seasonal cointegration
• A simple GLS procedure for seasonal cointegration

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