Likelihood analysis of seasonal cointegration

DOI10.1016/S0304-4076(98)00034-7zbMath1070.62526WikidataQ126351853 ScholiaQ126351853MaRDI QIDQ1305672

Ernst Schaumburg, Søren Glud Johansen

Publication date: 1999

Published in: Journal of Econometrics (Search for Journal in Brave)

zbMATH Keywords

Wald testSimulationUnit rootStructural changeSerial correlationSlope shift

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

Related Items (18)

Cointegration analysis with state space models ⋮ Seasonal cointegration for monthly data ⋮ On cointegration for processes integrated at different frequencies ⋮ CHANGE POINT TESTS FOR THE TAIL INDEX OFβ-MIXING RANDOM VARIABLES ⋮ Tests of integration in circular autoregressive models ⋮ Alternative estimators and unit root tests for seasonal autoregressive processes ⋮ Semiparametric Seasonal Cointegrating Rank Selection ⋮ Small-sample improvements in the statistical analysis of seasonally cointegrated systems ⋮ Tests for real and complex unit roots in vector autoregressive models ⋮ Extended complex error correction models for seasonal cointegration ⋮ A simple GLS procedure for seasonal cointegration ⋮ Modelling comovements of economic time series: a selective survey ⋮ Asymptotic analysis of non-periodical cointegration with high seasonals ⋮ Periodic and seasonal (co-)integration in the state space framework ⋮ Bonferroni correction for seasonal cointegrating ranks ⋮ A general inversion theorem for cointegration ⋮ Testing for time-varying factor loadings in high-dimensional factor models ⋮ Seasonal cointegration and cross-equation restrictions on a forward-looking buffer stock model of money demand.

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