Seasonal cointegration for monthly data

DOI10.1016/J.ECONLET.2003.09.004MaRDI QIDQ1927440zbMATH OpenOpenAlexFDO

Authors Olivier Darné

Publication date 1 January 2013

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2003.09.004

zbMATH Keywords

monthly dataseasonal cointegrationseasonality

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

Recommendations

• scientific article; zbMATH DE number 1208132
• Fully modified estimation of seasonally cointegrated processes
• A note on the critical values for the maximum likelihood (seasonal) cointegration tests
• Maximum likelihood inference on cointegration and seasonal cointegration
• TESTS FOR SEASONAL COINTEGRATION USING PRINCIPAL COMPONENTS

Cites work

• A NOTE ON TESTING FOR SEASONAL COINTEGRATION USING PRINCIPAL COMPONENTS IN THE FREQUENCY DOMAIN
• A note on the critical values for the maximum likelihood (seasonal) cointegration tests
• Likelihood analysis of seasonal cointegration
• Maximum likelihood inference on cointegration and seasonal cointegration
• Seasonal cointegration. The Japanese consumption function (with discussion)
• Seasonal integration and cointegration
• Seasonal unit roots in aggregate U.S. data (with discussion)
• Statistical analysis of cointegration vectors
• Testing for an unstable root in conditional and structural error correction models
• TESTS FOR SEASONAL COINTEGRATION USING PRINCIPAL COMPONENTS
• The econometric analysis of seasonal time series. With a foreword by Thomas J. Sargent
• The effect of seasonal adjustment filters on tests for a unit root (with discussion)

Cited in

(8)

• Maximum likelihood inference on cointegration and seasonal cointegration
• Seasonal cointegration and cross-equation restrictions on a forward-looking buffer stock model of money demand.
• Asymptotic analysis of non-periodical cointegration with high seasonals
• A simple GLS procedure for seasonal cointegration
• scientific article; zbMATH DE number 1208132 (Why is no real title available?)
• A periodic cointegration model of quarterly consumption
• A note on the critical values for the maximum likelihood (seasonal) cointegration tests
• Small-sample improvements in the statistical analysis of seasonally cointegrated systems

This page was built for publication: Seasonal cointegration for monthly data

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1927440)