Small-sample improvements in the statistical analysis of seasonally cointegrated systems

DOI10.1016/j.csda.2004.05.016zbMath1429.62658OpenAlexW2117118751MaRDI QIDQ957207

Pieter Omtzigt, Gianluca Cubadda

Publication date: 26 November 2008

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/2108/8939

zbMATH Keywords

reduced rank regressionseasonal cointegration

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (8)

On cointegration for processes integrated at different frequencies ⋮ Second special issue on computational econometrics ⋮ Inference of seasonal cointegration with linear restrictions ⋮ Extended complex error correction models for seasonal cointegration ⋮ Modelling comovements of economic time series: a selective survey ⋮ A unifying framework for analysing common cyclical features in cointegrated time series ⋮ Periodic and seasonal (co-)integration in the state space framework ⋮ Bonferroni correction for seasonal cointegrating ranks

Cites Work

• Seasonal integration and cointegration
• Maximum likelihood inference on cointegration and seasonal cointegration
• Likelihood analysis of seasonal cointegration
• Five alternative methods of estimating long-run equilibrium relationships
• Estimation of partially nonstationary vector autoregressive models with seasonal behavior
• Systematic sampling, temporal aggregation, seasonal adjustment, and cointegration. Theory and evidence
• Tests for cointegration. A Monte Carlo comparison
• A BARTLETT CORRECTION FACTOR FOR TESTS ON THE COINTEGRATING RELATIONS
• Some Exact Distribution Theory for Maximum Likelihood Estimators of Cointegrating Coefficients in Error Correction Models
• Two Mixed Normal Densities from Cointegration Analysis
• SEASONALITY IN ECONOMIC MODELS
• The Size and Power of Bootstrap and Bartlett-Corrected Tests of Hypotheses on the Cointegrating Vectors

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