Journal article
Inference of seasonal cointegration with linear restrictions
Journal of statistical computation and simulation, Vol.77(7), pp.593-603
07/01/2007
Handle:
https://hdl.handle.net/2376/111461
Abstract
In this article, we study the statistical inference of seasonal cointegration with joint linear restrictions among cointegrating vectors associated with possibly different seasonal unit roots. A Wald-type test and a likelihood ratio test are considered. For the development of the test statistics, we use the Gaussian reduced-rank estimation of Ahn et al. [Ahn, S.K., Cho, S. and Seong, B.C., 2004, Inference of seasonal cointegration: Gaussian reduced rank estimation and tests for various types of cointegration. Oxford Bulletin of Economics and Statistics, 66, 261-284], which simultaneously accommodates the cointegration corresponding to all seasonal unit roots. We then obtain the asymptotic distributions of the test statistics. We present methods for accommodating linear restrictions in the Gaussian reduced-rank estimation and obtain the related asymptotic distributions. A Monte Carlo simulation is conducted to investigate small-sample properties of the test statistics for some linear restrictions.
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Details
- Title
- Inference of seasonal cointegration with linear restrictions
- Creators
- Byeongchan Seong - Department of Management and Operations , Washington State University PullmanSinsup Cho - Department of Statistics , Seoul National UniversitySung K Ahn - Department of Management and Operations , Washington State University Pullman
- Publication Details
- Journal of statistical computation and simulation, Vol.77(7), pp.593-603
- Academic Unit
- Finance and Management Science, Department of
- Publisher
- Taylor & Francis
- Identifiers
- 99900547604601842
- Language
- English
- Resource Type
- Journal article