Seasonal cointegration and cross-equation restrictions on a forward-looking buffer stock model of money demand.

DOI10.1016/S0304-4076(02)00114-8zbMath1033.62101MaRDI QIDQ1868965

Chung-Hua Shen, Tai-Hsin Huang

Publication date: 9 April 2003

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

zbMATH Keywords

Seasonal cointegrationBuffer stock model of money demandCross-equation restrictionsSeasonal difference

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

Related Items (2)

Multi-equational linear quadratic adjustment cost models with rational expectations and cointe\-gration ⋮ Dynamic adjustment cost models with forward‐looking behaviour

Cites Work

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• Seasonal integration and cointegration
• Interpreting cointegrated models
• Statistical analysis of cointegration vectors
• Seasonal cointegration. The Japanese consumption function (with discussion)
• Maximum likelihood inference on cointegration and seasonal cointegration
• Likelihood analysis of seasonal cointegration
• Testing the joint hypothesis of rationality and neutrality under seasonal cointegration: The case of Korea
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Seasonal Adjustment and Relations Between Variables
• Testing for Unit Roots in Seasonal Time Series

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