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Estimation of partially nonstationary vector autoregressive models with seasonal behavior

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  • Ahn, Sung K.
  • Reinsel, Gregory C.
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    File URL: http://www.sciencedirect.com/science/article/B6VC0-4582FS1-14/2/bbb9e42d9afa3f2fb651477bfaf861a9
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Econometrics.

    Volume (Year): 62 (1994)
    Issue (Month): 2 (June)
    Pages: 317-350

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    Handle: RePEc:eee:econom:v:62:y:1994:i:2:p:317-350

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

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    Cited by:
    1. Fabio Busetti, 2006. "Tests of seasonal integration and cointegration in multivariate unobserved component models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(4), pages 419-438.
    2. Cubadda, Gianluca & Omtzigt, Pieter, 2005. "Small-sample improvements in the statistical analysis of seasonally cointegrated systems," Computational Statistics & Data Analysis, Elsevier, vol. 49(2), pages 333-348, April.
    3. Seong, Byeongchan, 2009. "Bonferroni correction for seasonal cointegrating ranks," Economics Letters, Elsevier, vol. 103(1), pages 42-44, April.
    4. Marco Centoni & Gianluca Cubadda, 2011. "Modelling comovements of economic time series: a selective survey," Statistica, Department of Statistics, University of Bologna, vol. 71(2), pages 267-294.
    5. Cubadda, Gianluca, 2001. " Complex Reduced Rank Models for Seasonally Cointegrated Time Series," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 63(4), pages 497-511, September.
    6. Park, Suk K. & Ahn, Sung K. & Cho, Sinsup, 2011. "Generalized method of moments estimation for cointegrated vector autoregressive models," Computational Statistics & Data Analysis, Elsevier, vol. 55(9), pages 2605-2618, September.
    7. Ahn, Sung K., 1996. "Common cycles in seasonally cointegrated time series," Economics Letters, Elsevier, vol. 53(3), pages 261-264, December.
    8. Martin Wagner, 2010. "Cointegration analysis with state space models," AStA Advances in Statistical Analysis, Springer, vol. 94(3), pages 273-305, September.
    9. Reimers, Hans-Eggert, 1997. "Forecasting of seasonal cointegrated processes," International Journal of Forecasting, Elsevier, vol. 13(3), pages 369-380, September.
    10. Philip Kostov & John Lingard, 2005. "Seasonally specific model analysis of UK cereals prices," Econometrics 0507014, EconWPA.
    11. Shin, Dong Wan & Oh, Man-Suk, 2004. "Fully modified semiparametric GLS estimation for regressions with nonstationary seasonal regressors," Journal of Econometrics, Elsevier, vol. 122(2), pages 247-280, October.

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