Estimation and testing of cointegration relationships with strongly seasonal monthly data

Emilio Caminero; Ignacio Díaz-Emparanza

Kybernetika (1997)

  • Volume: 33, Issue: 6, page 607-631
  • ISSN: 0023-5954

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Caminero, Emilio, and Díaz-Emparanza, Ignacio. "Estimation and testing of cointegration relationships with strongly seasonal monthly data." Kybernetika 33.6 (1997): 607-631. <http://eudml.org/doc/27280>.

@article{Caminero1997,
author = {Caminero, Emilio, Díaz-Emparanza, Ignacio},
journal = {Kybernetika},
keywords = {error correction mechanism; seasonal cointegration; maximum-likelihood; Monte Carlo simulations},
language = {eng},
number = {6},
pages = {607-631},
publisher = {Institute of Information Theory and Automation AS CR},
title = {Estimation and testing of cointegration relationships with strongly seasonal monthly data},
url = {http://eudml.org/doc/27280},
volume = {33},
year = {1997},
}

TY - JOUR
AU - Caminero, Emilio
AU - Díaz-Emparanza, Ignacio
TI - Estimation and testing of cointegration relationships with strongly seasonal monthly data
JO - Kybernetika
PY - 1997
PB - Institute of Information Theory and Automation AS CR
VL - 33
IS - 6
SP - 607
EP - 631
LA - eng
KW - error correction mechanism; seasonal cointegration; maximum-likelihood; Monte Carlo simulations
UR - http://eudml.org/doc/27280
ER -

References

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  1. T. W. Anderson, An Introduction to Multivariate Statistical Analysis, Chapter 12. Wiley, New York 1984. (1984) Zbl0651.62041MR0771294
  2. J. J. Beaulieu, J. A. Miron, Seasonal unit roots in aggregate U.S. data, J. Econometrics 54 (1993), 305-328. (1993) Zbl0756.62041MR1202368
  3. R. F. Engle, C. W. J. Granger, Cointegration and error correction: representation, estimation and testing, Econometrica 55 (1987), 251-276. (1987) MR0882095
  4. C. W. J. Granger, Some properties of time series data and their use in econometric model especification, J. Econometrics 16 (1981), 121-130. (1981) 
  5. C. W. J. Granger, Developments in the study of cointegrated economic variables, Oxford Bull. Econom. Statistics 48 (1986), 213-228. (1986) 
  6. S. Hylleberg R. F. Engle C. W. J. Granger, B. S. Yoo, Seasonal integration and cointegration, J. Econometrics 44 (1990), 215-238. (1990) MR1060457
  7. S. Johansen, Statistical analysis of cointegration vectors, J. Econom. Dynamics Control 12 (1988), 231-254. (1988) Zbl0647.62102MR0986516
  8. H. S. Lee, Maximum likelihood inference on cointegration and seasonal cointegration, J. Econometrics 54 (1992), 1-47. (1992) Zbl0757.62058MR1192472

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