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Complex Reduced Rank Models for Seasonally Cointegrated Time Series

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  • Cubadda, Gianluca

Abstract

This paper introduces a new representation for seasonally cointegrated variables, namely the complex error correction model, which allows statistical inference to be performed by reduced rank regression. The suggested estimators and tests statistics are asymptotically equivalent to their maximum likelihood counterparts. The small sample properties are evaluated by a Monte Carlo study and an empirical example is presented to illustrate the concepts and methods. Copyright 2001 by Blackwell Publishing Ltd

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Article provided by Department of Economics, University of Oxford in its journal Oxford Bulletin of Economics & Statistics.

Volume (Year): 63 (2001)
Issue (Month): 4 (September)
Pages: 497-511

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Handle: RePEc:bla:obuest:v:63:y:2001:i:4:p:497-511

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  1. Ermini, Luigi & Chang, Dongkoo, 1996. "Testing the joint hypothesis of rationality and neutrality under seasonal cointegration: The case of Korea," Journal of Econometrics, Elsevier, Elsevier, vol. 74(2), pages 363-386, October.
  2. Franses, Philip Hans & Kunst, Robert M, 1999. " On the Role of Seasonal Intercepts in Seasonal Cointegration," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, Department of Economics, University of Oxford, vol. 61(3), pages 409-33, August.
  3. Satyajit Chatterjee & B. Ravikumar, 1991. "A neoclassical model of seasonal fluctuations," Working Papers 91-23, Federal Reserve Bank of Philadelphia.
  4. Hylleberg, S. & Engle, R. F. & Granger, C. W. J. & Yoo, B. S., 1990. "Seasonal integration and cointegration," Journal of Econometrics, Elsevier, Elsevier, vol. 44(1-2), pages 215-238.
  5. Ahn, Sung K. & Reinsel, Gregory C., 1994. "Estimation of partially nonstationary vector autoregressive models with seasonal behavior," Journal of Econometrics, Elsevier, Elsevier, vol. 62(2), pages 317-350, June.
  6. Cubadda, Gianluca, 1999. "Common Cycles in Seasonal Non-stationary Time Series," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 14(3), pages 273-91, May-June.
  7. Johansen, S. & Schaumburg, E., 1997. "Likelihood Analysis of Seasonal Cointegration," Economics Working Papers, European University Institute eco97/16, European University Institute.
  8. Osborn, Denise R., 1993. "Seasonal cointegration," Journal of Econometrics, Elsevier, Elsevier, vol. 55(1-2), pages 299-303.
  9. Hylleberg, Svend & Jorgensen, Clara & Sorensen, Nils Karl, 1993. "Seasonality in Macroeconomic Time Series," Empirical Economics, Springer, Springer, vol. 18(2), pages 321-35.
  10. Kunst, Robert M, 1993. "Seasonal Cointegration, Common Seasonals, and Forecasting Seasonal Series," Empirical Economics, Springer, Springer, vol. 18(4), pages 761-76.
  11. Lee, Hahn Shik, 1992. "Maximum likelihood inference on cointegration and seasonal cointegration," Journal of Econometrics, Elsevier, Elsevier, vol. 54(1-3), pages 1-47.
  12. King, Robert G. & Plosser, Charles I. & Rebelo, Sergio T., 1988. "Production, growth and business cycles : II. New directions," Journal of Monetary Economics, Elsevier, Elsevier, vol. 21(2-3), pages 309-341.
  13. Canova, Fabio & Hansen, Bruce E, 1995. "Are Seasonal Patterns Constant over Time? A Test for Seasonal Stability," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 13(3), pages 237-52, July.
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Citations

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Cited by:
  1. Marco Centoni & Gianluca Cubadda, 2011. "Modelling comovements of economic time series: a selective survey," Statistica, Department of Statistics, University of Bologna, Department of Statistics, University of Bologna, vol. 71(2), pages 267-294.
  2. Darne, Olivier, 2004. "Seasonal cointegration for monthly data," Economics Letters, Elsevier, Elsevier, vol. 82(3), pages 349-356, March.
  3. Cubadda, Gianluca & Omtzigt, Pieter, 2003. "Small Sample Improvements in the Statistical Analysis of Seasonally Cointegrated Systems," Economics & Statistics Discussion Papers esdp03012, University of Molise, Dept. EGSeI.
  4. Ozlem Tasseven, 2009. "Seasonal Co-integration An Extension of the Johansen and Schaumburg Approach with an Exclusion Test," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 56(1), pages 39-53, March.
  5. Seong, Byeongchan, 2009. "Bonferroni correction for seasonal cointegrating ranks," Economics Letters, Elsevier, Elsevier, vol. 103(1), pages 42-44, April.
  6. Candelon,Bertrand & Cubadda,Gianluca, 2005. "Testing for Parameter Stability in Dynamic Models across Frequencies," Research Memorandum 022, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
  7. Philip Kostov & John Lingard, 2005. "Seasonally specific model analysis of UK cereals prices," Econometrics, EconWPA 0507014, EconWPA.
  8. Seong, Byeongchan, 2013. "Semiparametric selection of seasonal cointegrating ranks using information criteria," Economics Letters, Elsevier, Elsevier, vol. 120(3), pages 592-595.
  9. Svend Hylleberg, 2006. "Seasonal Adjustment," Economics Working Papers, School of Economics and Management, University of Aarhus 2006-04, School of Economics and Management, University of Aarhus.
  10. Gil-Alana, L.A., 2008. "Testing of seasonal integration and cointegration with fractionally integrated techniques: An application to the Danish labour demand," Economic Modelling, Elsevier, Elsevier, vol. 25(2), pages 326-339, March.

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