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Likelihood analysis of seasonal cointegration

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Author Info
Johansen, Soren
Schaumburg, Ernst

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Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 88 (1998)
Issue (Month): 2 (November)
Pages: 301-339
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Handle: RePEc:eee:econom:v:88:y:1998:i:2:p:301-339

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

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  1. Dietmar Bauer & Martin Wagner, 2003. "On Polynomial Cointegration in the State Space Framework," Diskussionsschriften dp0313, Universitaet Bern, Departement Volkswirtschaft. [Downloadable!]
  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!]
    Other versions:
  3. Peter Hansen, 2000. "The Johansen-Granger Representation Theorem: An Explicit Expression for I(1) Processes," University of California at San Diego, Economics Working Paper Series 2000-17, Department of Economics, UC San Diego. [Downloadable!]
  4. 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!]
  5. Gustavsson, Patrik & Nordström, Jonas, 1999. "The Impact of Seasonal Unit Roots and Vector ARMA Modeling on Forecasting Monthly Tourism Flows," Working Paper Series 150, Trade Union Institute for Economic Research, revised 01 Jul 2000. [Downloadable!]
  6. Johan Lyhagen, 2006. "The seasonal KPSS statistic," Economics Bulletin, Economics Bulletin, vol. 3(13), pages 1-9. [Downloadable!]
    Other versions:
  7. Philip Kostov & John Lingard, 2005. "Seasonally specific model analysis of UK cereals prices," Econometrics 0507014, EconWPA. [Downloadable!]
  8. Gianluca Cubadda, 2000. "Complex Reduced Rank Models for Seasonally Cointegrated Time Series," Econometric Society World Congress 2000 Contributed Papers 0092, Econometric Society. [Downloadable!]
    Other versions:
  9. Svend Hylleberg, 2006. "Seasonal Adjustment," Economics Working Papers 2006-04, School of Economics and Management, University of Aarhus. [Downloadable!]
  10. 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!]
  11. Dietmar Bauer & Martin Wagner, 2003. "A Canonical Form for Unit Root Processes in the State Space Framework," Diskussionsschriften dp0312, Universitaet Bern, Departement Volkswirtschaft. [Downloadable!]
    Other versions:
  12. Raimundo Soto, 2000. "Ajuste Estacional e Integración en Variables Macroeconómicas," Working Papers Central Bank of Chile 73, Central Bank of Chile. [Downloadable!]
    Other versions:
  13. 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)
  14. Bent Nielsen, 2005. "Analysis of co-explosive processes," Economics Papers 2005-W08, Economics Group, Nuffield College, University of Oxford. [Downloadable!]
  15. Dietmar Bauer & Martin Wagner, 2002. "Asymptotic Properties of Pseudo Maximum Likelihood Estimates for Multiple Frequency I(1) Processes," Diskussionsschriften dp0205, Universitaet Bern, Departement Volkswirtschaft. [Downloadable!]
  16. Kirstin Hubrich & Helmut Lütkepohl & Pentti Saikkonen, 2001. "A Review Of Systems Cointegration Tests," Econometric Reviews, Taylor and Francis Journals, vol. 20(3), pages 247-318. [Downloadable!] (restricted)
    Other versions:
  17. Pami Dua & Lokendra Kumawat, 2005. "Modelling and Forecasting Seasonality in Indian Macroeconomic Time Series," Working papers 136, Centre for Development Economics, Delhi School of Economics. [Downloadable!]
  18. Peter Reinhard Hansen, . "The Johansen-Granger Representation Theorem: A Closed Form Expression for I(1)Processes Creation-Date: 2000," Working Papers 2000-19, Brown University, Department of Economics. [Downloadable!]
  19. H. Peter Boswijk & Jurgen Doornik, 2003. "Identifying, Estimating and Testing Restricted Cointegrated Systems: An Overview," Economics Papers 2003-W10, Economics Group, Nuffield College, University of Oxford. [Downloadable!]
    Other versions:
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