IDEAS home Printed from https://ideas.repec.org/a/eee/econom/v62y1994i2p317-350.html
   My bibliography  Save this article

Estimation of partially nonstationary vector autoregressive models with seasonal behavior

Author

Listed:
  • Ahn, Sung K.
  • Reinsel, Gregory C.

Abstract

No abstract is available for this item.

Suggested Citation

  • Ahn, Sung K. & Reinsel, Gregory C., 1994. "Estimation of partially nonstationary vector autoregressive models with seasonal behavior," Journal of Econometrics, Elsevier, vol. 62(2), pages 317-350, June.
  • Handle: RePEc:eee:econom:v:62:y:1994:i:2:p:317-350
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/0304-4076(94)90027-2
    Download Restriction: Full text for ScienceDirect subscribers only

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. 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.
    2. 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.
    3. Philip Kostov & John Lingard, 2005. "Seasonally specific model analysis of UK cereals prices," Econometrics 0507014, University Library of Munich, Germany.
    4. Søren Johansen, 2014. "Times Series: Cointegration," Discussion Papers 14-24, University of Copenhagen. Department of Economics.
    5. 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.
    6. 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.
    7. Martin Wagner, 2010. "Cointegration analysis with state space models," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 94(3), pages 273-305, September.
    8. 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.
    9. Seong, Byeongchan, 2009. "Bonferroni correction for seasonal cointegrating ranks," Economics Letters, Elsevier, vol. 103(1), pages 42-44, April.
    10. Ahn, Sung K., 1996. "Common cycles in seasonally cointegrated time series," Economics Letters, Elsevier, vol. 53(3), pages 261-264, December.
    11. Nyblom, Jukka & Suomala, Jaakko, 2014. "Tests for real and complex unit roots in vector autoregressive models," Journal of Multivariate Analysis, Elsevier, vol. 130(C), pages 224-239.
    12. 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.
    13. Reimers, Hans-Eggert, 1997. "Forecasting of seasonal cointegrated processes," International Journal of Forecasting, Elsevier, vol. 13(3), pages 369-380, September.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:econom:v:62:y:1994:i:2:p:317-350. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dana Niculescu). General contact details of provider: http://www.elsevier.com/locate/jeconom .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.