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Small Sample Improvements in the Statistical Analysis of Seasonally Cointegrated Systems

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  • Cubadda, Gianluca

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  • Omtzigt, Pieter

Abstract

This paper proposes new iterative reduced-rank regression procedures for seasonal cointegration analysis. The suggested methods are motivated by the idea that modelling the cointegration restrictions jointly at different frequencies may increase efficiency in finite samples. Monte Carlo simulations indicate that the new tests and estimators perform well with respect to already existing statistical procedures.

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File URL: http://web.unimol.it/progetti/repec/mol/ecsdps/ESDP03012.pdf
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Bibliographic Info

Paper provided by University of Molise, Dept. EGSeI in its series Economics & Statistics Discussion Papers with number esdp03012.

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Length: 20 pages
Date of creation: 28 Oct 2003
Date of revision:
Handle: RePEc:mol:ecsdps:esdp03012

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Keywords: Seasonal Cointegration; Reduced Rank Regression.;

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References

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  1. Ghysels, E. & Granger, C.W.J. & Siklos, P.L., 1995. "Is Seasonal Adjustment a Linear or Nonlinear Data Filtring Process," Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ 9517, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  2. Omtzigt Pieter & Fachin Stefano, 2002. "Bootstrapping and Bartlett corrections in the cointegrated VAR model," Economics and Quantitative Methods, Department of Economics, University of Insubria qf0212, Department of Economics, University of Insubria.
  3. 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.
  4. Granger, C.W.J. & Siklos, P.L., 1993. "Systematic Sampling, Temporal Aggregation, Seasonal Adjustment, and Cointegration: Theory and Evidence," Working Papers, Wilfrid Laurier University, Department of Economics 93001, Wilfrid Laurier University, Department of Economics.
  5. 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.
  6. Löf, Mårten & Franses, Philip Hans, 2000. "On Forecasting Cointegrated Seasonal Time Series," Working Paper Series in Economics and Finance, Stockholm School of Economics 350, Stockholm School of Economics.
  7. Lee, Hahn Shik, 1992. "Maximum likelihood inference on cointegration and seasonal cointegration," Journal of Econometrics, Elsevier, Elsevier, vol. 54(1-3), pages 1-47.
  8. Johansen, S ren, 2000. "A Bartlett Correction Factor For Tests On The Cointegrating Relations," Econometric Theory, Cambridge University Press, Cambridge University Press, vol. 16(05), pages 740-778, October.
  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. Peter C.B. Phillips, 1992. "Some Exact Distribution Theory for Maximum Likelihood Estimators of Cointegrating Coefficients in Error Correction Models," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 1039, Cowles Foundation for Research in Economics, Yale University.
  11. Karim M. Abadir & Paolo Paruolo, 1997. "Two Mixed Normal Densities from Cointegration Analysis," Econometrica, Econometric Society, Econometric Society, vol. 65(3), pages 671-680, May.
  12. Johansen, Soren & Schaumburg, Ernst, 1998. "Likelihood analysis of seasonal cointegration," Journal of Econometrics, Elsevier, Elsevier, vol. 88(2), pages 301-339, November.
  13. 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.
  14. Abeysinghe, Tilak, 1994. "Deterministic seasonal models and spurious regressions," Journal of Econometrics, Elsevier, Elsevier, vol. 61(2), pages 259-272, April.
  15. Franses, Philip Hans & McAleer, Michael, 1998. " Cointegration Analysis of Seasonal Time Series," Journal of Economic Surveys, Wiley Blackwell, Wiley Blackwell, vol. 12(5), pages 651-78, December.
  16. Agustín Maravall, 1996. "Unobserved Components in Economic Time Series," Banco de Espa�a Working Papers, Banco de Espa�a 9609, Banco de Espa�a.
  17. Brendstrup, Bjarne & Hylleberg, Svend & Nielsen, Morten Rregaard & Skipper, Lars & Stentoft, Lars, 2004. "Seasonality In Economic Models," Macroeconomic Dynamics, Cambridge University Press, Cambridge University Press, vol. 8(03), pages 362-394, June.
  18. Cubadda, Gianluca, 2001. " Complex Reduced Rank Models for Seasonally Cointegrated Time Series," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, Department of Economics, University of Oxford, vol. 63(4), pages 497-511, September.
  19. 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.
  20. Gonzalo, Jesus, 1994. "Five alternative methods of estimating long-run equilibrium relationships," Journal of Econometrics, Elsevier, Elsevier, vol. 60(1-2), pages 203-233.
  21. Haug, Alfred A., 1996. "Tests for cointegration a Monte Carlo comparison," Journal of Econometrics, Elsevier, Elsevier, vol. 71(1-2), pages 89-115.
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Citations

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Cited by:
  1. Cubadda, Gianluca, 2007. "A unifying framework for analysing common cyclical features in cointegrated time series," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 52(2), pages 896-906, October.
  2. Fabio Busetti, 2004. "Tests of seasonal integration and cointegration in multivariate unobserved component models," Econometrics, EconWPA 0411003, EconWPA.
  3. 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.
  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. 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.
  7. Jacek Kotlowski, 2005. "Money and prices in the Polish economy. Seasonal cointegration approach," Working Papers, Department of Applied Econometrics, Warsaw School of Economics 20, Department of Applied Econometrics, Warsaw School of Economics.

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