Small-sample improvements in the statistical analysis of seasonally cointegrated systems
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Publication:957207
DOI10.1016/j.csda.2004.05.016zbMath1429.62658OpenAlexW2117118751MaRDI QIDQ957207
Pieter Omtzigt, Gianluca Cubadda
Publication date: 26 November 2008
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/2108/8939
Applications of statistics to economics (62P20) Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
Related Items (8)
On cointegration for processes integrated at different frequencies ⋮ Second special issue on computational econometrics ⋮ Inference of seasonal cointegration with linear restrictions ⋮ Extended complex error correction models for seasonal cointegration ⋮ Modelling comovements of economic time series: a selective survey ⋮ A unifying framework for analysing common cyclical features in cointegrated time series ⋮ Periodic and seasonal (co-)integration in the state space framework ⋮ Bonferroni correction for seasonal cointegrating ranks
Cites Work
- Seasonal integration and cointegration
- Maximum likelihood inference on cointegration and seasonal cointegration
- Likelihood analysis of seasonal cointegration
- Five alternative methods of estimating long-run equilibrium relationships
- Estimation of partially nonstationary vector autoregressive models with seasonal behavior
- Systematic sampling, temporal aggregation, seasonal adjustment, and cointegration. Theory and evidence
- Tests for cointegration. A Monte Carlo comparison
- A BARTLETT CORRECTION FACTOR FOR TESTS ON THE COINTEGRATING RELATIONS
- Some Exact Distribution Theory for Maximum Likelihood Estimators of Cointegrating Coefficients in Error Correction Models
- Two Mixed Normal Densities from Cointegration Analysis
- SEASONALITY IN ECONOMIC MODELS
- The Size and Power of Bootstrap and Bartlett-Corrected Tests of Hypotheses on the Cointegrating Vectors
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