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Maximum likelihood inference on cointegration and seasonal cointegration

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Author Info
Lee, Hahn Shik
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File URL: http://www.sciencedirect.com/science/article/B6VC0-4582HJN-2D/2/c3cca1a6d08d4ef8600c65a65584add5
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Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 54 (1992)
Issue (Month): 1-3 ()
Pages: 1-47
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Handle: RePEc:eee:econom:v:54:y:1992:i:1-3:p:1-47

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Web page: http://www.elsevier.com/locate/jeconom

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  1. William R. Bell & Eric Ghysels & Hahn Shik Lee, 1997. "Seasonal Time Series and Autocorrelation Function Estimation," CIRANO Working Papers 97s-35, CIRANO. [Downloadable!]
    Other versions:
  2. 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. SEGeS. [Downloadable!]
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  3. Antonio Rubia, 2001. "Testing For Weekly Seasonal Unit Roots In Daily Electricity Demand: Evidence From Deregulated Markets," Working Papers. Serie EC 2001-21, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie). [Downloadable!]
  4. J. Breitung & P. H. Franses, . "On Phillips-Perron Type Tests for Seasonal Unit Roots," Sonderforschungsbereich 373 1996-27, Humboldt Universitaet Berlin.
  5. Ignacio Diaz-Emparanza & Alexandra M. Espinosa, 2000. "Analysis of the relationship between International Immigration and Unemployement," BILTOKI 200013, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística). [Downloadable!]
  6. Omar A Mendoza Lugo, 2008. "The differential impact of real interest rates and credit availability on private investment: evidence from Venezuela," BIS Papers chapters, in: Bank for International Settlements (ed.), Transmission mechanisms for monetary policy in emerging market economies, volume 35, pages 501-537 Bank for International Settlements. [Downloadable!]
  7. H. Herwartz & H. E. Reimers, . "Seasonal Cointegration Analysis for German M3 Money Demand," Sonderforschungsbereich 373 1996-78, Humboldt Universitaet Berlin.
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  8. Philip M. Bodman, 1995. "National Savings And Domestic Investment In The Long Term: Some Time Series Evidence From The Oecd," International Economic Journal, Korean International Economic Association, vol. 9(2), pages 37-60, June. [Downloadable!] (restricted)
  9. Kunst, Robert M., 1997. "Decision Bounds for Data-Admissible Seasonal Models," Economics Series 51, Institute for Advanced Studies. [Downloadable!]
  10. Philip Kostov & John Lingard, 2005. "Seasonally specific model analysis of UK cereals prices," Econometrics 0507014, EconWPA. [Downloadable!]
  11. Gianluca Cubadda, 2000. "Complex Reduced Rank Models for Seasonally Cointegrated Time Series," Econometric Society World Congress 2000 Contributed Papers 0092, Econometric Society. [Downloadable!]
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  12. Tomas del Barrio Castro & Denise R Osborn, 2005. "Cointegration for Periodically Integrated Processes," The School of Economics Discussion Paper Series 0522, Economics, The University of Manchester. [Downloadable!]
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  13. Svend Hylleberg, 2006. "Seasonal Adjustment," Economics Working Papers 2006-04, School of Economics and Management, University of Aarhus. [Downloadable!]
  14. Raimundo Soto & Matías Tapia, 2001. "Seasonal cointegration and the stability of the demand for money," Working Papers Central Bank of Chile 103, Central Bank of Chile. [Downloadable!]
  15. Kunst, Robert M., 2002. "Testing for Stationarity in a Cointegrated System," Economics Series 117, Institute for Advanced Studies. [Downloadable!]
  16. Jordan Shan, 1999. "Immigration and Unemployment: new evidence from Australia and New Zealand," International Review of Applied Economics, Taylor and Francis Journals, vol. 13(2), pages 253-260, May. [Downloadable!] (restricted)
  17. Olivier Darné, 2003. "Maximum likelihood seasonal cointegration tests for daily data," Economics Bulletin, Economics Bulletin, vol. 3(18), pages 1-8. [Downloadable!]
  18. Gianluca Cubadda, 2001. "Common Features In Time Series With Both Deterministic And Stochastic Seasonality," Econometric Reviews, Taylor and Francis Journals, vol. 20(2), pages 201-216. [Downloadable!] (restricted)
  19. Hsiao-chuan Chang, 2003. "Do Immigrants Rob Jobs? A Case Study Of Australia," Department of Economics - Working Papers Series 883, The University of Melbourne. [Downloadable!]
  20. Hsiao-chuan Chang, 2002. "Are Foreign Workers Responsible For The Increasing Unemployment Rate In Taiwan?," Department of Economics - Working Papers Series 853, The University of Melbourne. [Downloadable!]
  21. Kunst, Robert M. & Reutter, Michael, 2000. "Decisions on Seasonal Unit Roots," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
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