Extended complex error correction models for seasonal cointegration

DOI10.1016/j.jkss.2008.09.003zbMath1293.62203OpenAlexW2087760441MaRDI QIDQ2510648

Byeongchan Seong

Publication date: 1 August 2014

Published in: Journal of the Korean Statistical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jkss.2008.09.003

zbMATH Keywords

likelihood ratio testcointegrating rankseasonal intercepts

Mathematics Subject Classification ID

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

Cites Work

• Seasonal integration and cointegration
• A note on the critical values for the maximum likelihood (seasonal) cointegration tests
• Small-sample improvements in the statistical analysis of seasonally cointegrated systems
• Statistical analysis of cointegration vectors
• Limiting distributions of least squares estimates of unstable autoregressive processes
• Maximum likelihood inference on cointegration and seasonal cointegration
• Likelihood analysis of seasonal cointegration
• Estimation of partially nonstationary vector autoregressive models with seasonal behavior
• Estimation for partially nonstationary multivariate autoregressive models with conditional heteroscedasticity
• Co-Integration and Error Correction: Representation, Estimation, and Testing

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