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Maximum Eigenvalue Test for Seasonal Cointegrating Ranks

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  • Byeongchan Seong
  • Sinsup Cho
  • Sung K. Ahn

Abstract

The maximum eigenvalue (ME) test for seasonal cointegrating ranks is presented using the approach of Cubadda [Oxford Bulletin of Economics and Statistics (2001), Vol. 63, pp. 497–511], which is computationally more efficient than that of Johansen and Schaumburg [Journal of Econometrics (1999), Vol. 88, pp. 301–339]. The asymptotic distributions of the ME test statistics are obtained for several cases that depend on the nature of deterministic terms. Monte Carlo experiments are conducted to evaluate the relative performances of the proposed ME test and the trace test, and we illustrate these tests using a monthly time series.

Suggested Citation

  • Byeongchan Seong & Sinsup Cho & Sung K. Ahn, 2006. "Maximum Eigenvalue Test for Seasonal Cointegrating Ranks," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 68(4), pages 497-514, August.
    • Handle: RePEc:bla:obuest:v:68:y:2006:i:4:p:497-514
    DOI: 10.1111/j.1468-0084.2006.00174.x
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    Cited by:

    1. Seong, Byeongchan, 2009. "Bonferroni correction for seasonal cointegrating ranks," Economics Letters, Elsevier, vol. 103(1), pages 42-44, April.
    2. Seong, Byeongchan, 2013. "Semiparametric selection of seasonal cointegrating ranks using information criteria," Economics Letters, Elsevier, vol. 120(3), pages 592-595.
    3. 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, vol. 25(2), pages 326-339, March.

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