Maximum likelihood inference on cointegration and seasonal cointegration
type: Item
instance of: scholarly article
title: Maximum likelihood inference on cointegration and seasonal cointegration
zbMATH Open document ID: 0757.62058
DOI: 10.1016/0304-4076(92)90098-C
published in: Journal of Econometrics
publication date: 1993-02-04T00:00:00Z
Mathematics Subject Classification ID: 62P20
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 91B84
Mathematics Subject Classification ID: 62E20
zbMATH DE Number: 110402
zbMATH Keywords: testing procedures
zbMATH Keywords: cointegration
zbMATH Keywords: seasonal cointegration
zbMATH Keywords: nonstationary time series
zbMATH Keywords: unit roots
zbMATH Keywords: seasonal frequencies
zbMATH Keywords: maximum likelihood inference
zbMATH Keywords: existence of cointegrating vectors
zbMATH Keywords: critical values
zbMATH Keywords: Monte Carlo simulation
zbMATH Keywords: seasonally adjusted data
zbMATH Keywords: Canadian data
zbMATH Keywords: unemployment
zbMATH Keywords: immigration rates
author: Hahn S. Lee
MaRDI profile type: Publication
cites work: Seasonal unit roots in aggregate U.S. data (with discussion)
cites work: Q5560061
cites work: Limiting distributions of least squares estimates of unstable autoregressive processes
cites work: Testing for Unit Roots in Seasonal Time Series
cites work: Co-Integration and Error Correction: Representation, Estimation, and Testing
cites work: Seasonal cointegration. The Japanese consumption function (with discussion)
cites work: Q4124141
cites work: Q3783791
cites work: Seasonal integration and cointegration
cites work: Statistical analysis of cointegration vectors
cites work: Time Series Regression with a Unit Root
cites work: Testing for cointegration using principal components methods
cites work: Some results on multivariate autoregressive index models
cites work: Testing for Common Trends
full work available at URL: 0304-4076(92)90098-c
OpenAlex ID: W2031420905
description: scientific article; zbMATH DE number 110402