Likelihood analysis of seasonal cointegration
The vector autoregressive model for seasonal cointegration is analysed. The general error correction model is discussed and conditions are found under which the process is integrated of order 1 at seasonal frequency and exhibits cointegration. Under these conditions a representation theorem for the solution is given expressed in terms of seasonal random walks. Finally the asymptotic properties of the likelihood ratio test for cointegrating rank is given, and it is shown that the estimated cointegrating vectors are asymptotically mixed Gaussian. The results resemble the result for cointegration at zero frequency but expressed in terms of a complex Brownian motion. Tables are provided for asymptotic inference under various assumptions on the deterministic terms.
(This abstract was borrowed from another version of this item.)
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Hyllerberg, S. & Engle, R.F. & Granger, C.W.J. & Yoo, B.S., 1988.
"Seasonal Integration And Cointegration,"
0-88-2, Pennsylvania State - Department of Economics.
- 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, vol. 61(3), pages 409-33, August.
- Franses, Philip Hans & Kunst, Robert M., 1995. "On the role of seasonal intercepts in seasonal cointegration," Economics Series 15, Institute for Advanced Studies.
- Franses, Ph.H.B.F. & Kunst, R.M., 1998. "On the role of seasonal intercepts in seasonal cointegration," Econometric Institute Research Papers EI 9820, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Harbo, Ingrid, et al, 1998. "Asymptotic Inference on Cointegrating Rank in Partial Systems," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(4), pages 388-99, October.
- Osborn, Denise R., 1993. "Seasonal cointegration," Journal of Econometrics, Elsevier, vol. 55(1-2), pages 299-303.
- Lee, Hahn Shik, 1992. "Maximum likelihood inference on cointegration and seasonal cointegration," Journal of Econometrics, Elsevier, vol. 54(1-3), pages 1-47.
When requesting a correction, please mention this item's handle: RePEc:eee:econom:v:88:y:1998:i:2:p:301-339. 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: (Zhang, Lei)
If references are entirely missing, you can add them using this form.