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Maximum likelihood seasonal cointegration tests for daily data

Author

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  • Olivier Darné

    (LAMETA/CNRS, Faculty of Economics, University of Montpellier I)

Abstract

In this paper we propose an extension of the maximum likelihood seasonal cointegration procedure developed by Lee (1992) for daily time series. We compute the finite sample critical values of the associated test statistics in daily seasonal time series.

Suggested Citation

  • Olivier Darné, 2003. "Maximum likelihood seasonal cointegration tests for daily data," Economics Bulletin, AccessEcon, vol. 3(18), pages 1-8.
    • Handle: RePEc:ebl:ecbull:eb-03c30006
    as

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    References listed on IDEAS

    as
    1. Hylleberg, S. & Engle, R. F. & Granger, C. W. J. & Yoo, B. S., 1990. "Seasonal integration and cointegration," Journal of Econometrics, Elsevier, vol. 44(1-2), pages 215-238.
    2. Philip Hans Franses & Michael McAleer, 1998. "Cointegration Analysis of Seasonal Time Series," Journal of Economic Surveys, Wiley Blackwell, vol. 12(5), pages 651-678, December.
    3. Roselyne Joyeux, 1992. "Tests For Seasonal Cointegration Using Principal Components," Journal of Time Series Analysis, Wiley Blackwell, vol. 13(2), pages 109-118, March.
    4. Lee, Hahn Shik, 1992. "Maximum likelihood inference on cointegration and seasonal cointegration," Journal of Econometrics, Elsevier, vol. 54(1-3), pages 1-47.
    5. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
    6. Philip Hans Franses & Michael McAleer, 1998. "Cointegration Analysis of Seasonal Time Series," Journal of Economic Surveys, Wiley Blackwell, vol. 12(5), pages 651-678, December.
    7. Engle, R. F. & Granger, C. W. J. & Hallman, J. J., 1989. "Merging short-and long-run forecasts : An application of seasonal cointegration to monthly electricity sales forecasting," Journal of Econometrics, Elsevier, vol. 40(1), pages 45-62, January.
    8. Engle, R. F. & Granger, C. W. J. & Hylleberg, S. & Lee, H. S., 1993. "The Japanese consumption function," Journal of Econometrics, Elsevier, vol. 55(1-2), pages 275-298.
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