Testing the joint hypothesis of rationality and neutrality under seasonal cointegration: The case of Korea

DOI10.1016/0304-4076(95)01758-5zbMath0867.90033OpenAlexW2146778592MaRDI QIDQ2565045

Dongkoo Chang, Luigi Ermini

Publication date: 7 January 1997

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

Full work available at URL: http://hdl.handle.net/1814/486

zbMATH Keywords

money neutralityseasonal cointegration

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic time series analysis (91B84) Statistical methods; economic indices and measures (91B82)

Related Items (1)

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

Uses Software

• SAS
• SAS/ETS

Cites Work

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• Seasonal integration and cointegration
• Stochastic linear trends. Models and estimators
• Statistical analysis of cointegration vectors
• The effect of seasonal adjustment filters on tests for a unit root (with discussion)
• Seasonal cointegration. The Japanese consumption function (with discussion)
• Maximum likelihood inference on cointegration and seasonal cointegration
• Five alternative methods of estimating long-run equilibrium relationships
• Time series analysis and simultaneous equation econometric models
• A Stastistical Analysis of Cointegration for I(2) Variables
• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis

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