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Citations for "Maximum likelihood inference on cointegration and seasonal cointegration"

by Lee, Hahn Shik

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  1. Svend Hylleberg, 2006. "Seasonal Adjustment," Economics Working Papers 2006-04, School of Economics and Management, University of Aarhus.
  2. Franses, Philip Hans & Kunst, Robert M., 1995. "On the role of seasonal intercepts in seasonal cointegration," Economics Series 15, Institute for Advanced Studies.
  3. Lee, Hahn S. & Siklos, Pierre L., 1995. "A note on the critical values for the maximum likelihood (seasonal) cointegration tests," Economics Letters, Elsevier, vol. 49(2), pages 137-145, August.
  4. Johansen, S. & Schaumburg, E., 1997. "Likelihood Analysis of Seasonal Cointegration," Economics Working Papers eco97/16, European University Institute.
  5. Raimundo Soto & Matías Tapia, 2001. "Seasonal cointegration and the stability of the demand for money," Working Papers Central Bank of Chile 103, Central Bank of Chile.
  6. Seong, Byeongchan, 2009. "Bonferroni correction for seasonal cointegrating ranks," Economics Letters, Elsevier, vol. 103(1), pages 42-44, April.
  7. Horowitz, Joel L. & Savin, N. E., 2000. "Empirically relevant critical values for hypothesis tests: A bootstrap approach," Journal of Econometrics, Elsevier, vol. 95(2), pages 375-389, April.
  8. Darne, Olivier, 2004. "Seasonal cointegration for monthly data," Economics Letters, Elsevier, vol. 82(3), pages 349-356, March.
  9. Gonzalez, Pilar & Moral, Paz, 1995. "An analysis of the international tourism demand in Spain," International Journal of Forecasting, Elsevier, vol. 11(2), pages 233-251, June.
  10. Franses, Philip Hans & Hylleberg, Svend & Lee, Hahn S., 1995. "Spurious deterministic seasonality," Economics Letters, Elsevier, vol. 48(3-4), pages 249-256, June.
  11. del Barrio Castro, Tom s & Osborn, Denise R., 2008. "Cointegration For Periodically Integrated Processes," Econometric Theory, Cambridge University Press, vol. 24(01), pages 109-142, February.
  12. Raimundo Soto M. & Matías Tapia G., 2000. "Seasonal Cointegration in Money Demand," Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 3(3), pages 57-71, December.
  13. Gianluca Cubadda, 2001. "Common Features In Time Series With Both Deterministic And Stochastic Seasonality," Econometric Reviews, Taylor & Francis Journals, vol. 20(2), pages 201-216.
  14. Ghysels, Éric, 1994. "L’analyse économétrique et la saisonnalité," L'Actualité Economique, Société Canadienne de Science Economique, vol. 70(1), pages 43-62, mars.
  15. repec:ebl:ecbull:v:3:y:2003:i:18:p:1-8 is not listed on IDEAS
  16. Díaz-Emparanza Herrero, Ignacio & Miranda Espinosa, Alexandra, 2000. "Analysis of the relationship between International Immigration and Unemployement," BILTOKI 2000-13, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística).
  17. Antonio Rubia, 2001. "Testing For Weekly Seasonal Unit Roots In Daily Electricity Demand: Evidence From Deregulated Markets," Working Papers. Serie EC 2001-21, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  18. Bohl, Martin T., 2000. "Nonstationary stochastic seasonality and the German M2 money demand function," European Economic Review, Elsevier, vol. 44(1), pages 61-70, January.
  19. Gianluca Cubadda, 2000. "Complex Reduced Rank Models for Seasonally Cointegrated Time Series," Econometric Society World Congress 2000 Contributed Papers 0092, Econometric Society.
  20. Huang, Tai-Hsin & Shen, Chung-Hua, 2002. "Seasonal cointegration and cross-equation restrictions on a forward-looking buffer stock model of money demand," Journal of Econometrics, Elsevier, vol. 111(1), pages 11-46, November.
  21. Kunst, Robert M., 2002. "Testing for Stationarity in a Cointegrated System," Economics Series 117, Institute for Advanced Studies.
  22. Marco Centoni & Gianluca Cubadda, 2011. "Modelling Comovements of Economic Time Series: A Selective Survey," CEIS Research Paper 215, Tor Vergata University, CEIS, revised 26 Oct 2011.
  23. Olivier Darné, 2003. "Maximum likelihood seasonal cointegration tests for daily data," Economics Bulletin, AccessEcon, vol. 3(18), pages 1-8.
  24. 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.
  25. Rodrigues, Paulo M. M. & Taylor, A. M. Robert, 2004. "Alternative estimators and unit root tests for seasonal autoregressive processes," Journal of Econometrics, Elsevier, vol. 120(1), pages 35-73, May.
  26. Reimers, Hans-Eggert, 1997. "Forecasting of seasonal cointegrated processes," International Journal of Forecasting, Elsevier, vol. 13(3), pages 369-380, September.
  27. Lof, Marten & Hans Franses, Philip, 2001. "On forecasting cointegrated seasonal time series," International Journal of Forecasting, Elsevier, vol. 17(4), pages 607-621.
  28. Omar A Mendoza Lugo, 2008. "The differential impact of real interest rates and credit availability on private investment: evidence from Venezuela," BIS Papers chapters, in: Bank for International Settlements (ed.), Transmission mechanisms for monetary policy in emerging market economies, volume 35, pages 501-537 Bank for International Settlements.
  29. Ozlem Goktas & Aycan Hepsag, 2011. "Do stock returns lead real economic activity? Evidence from seasonal cointegration analysis," Economics Bulletin, AccessEcon, vol. 31(3), pages 2117-2127.
  30. Lee, H.S. & Siklos, P.L., 1997. "The Role of Seasonality in Economic Time Series: Reinterpretating Money-Output Causality in U.S. Data," Working Papers 97-1, Wilfrid Laurier University, Department of Economics.
  31. Lee, Hahn Shik & Ghysels, Eric & Bell, William R, 2002. "Seasonal Time Series and Autocorrelation Function Estimation," Manchester School, University of Manchester, vol. 70(5), pages 651-65, September.
  32. Lof, Marten & Lyhagen, Johan, 2002. "Forecasting performance of seasonal cointegration models," International Journal of Forecasting, Elsevier, vol. 18(1), pages 31-44.
  33. Wagner, Martin, 2010. "Cointegration Analysis with State Space Models," Economics Series 248, Institute for Advanced Studies.
  34. Asadul Islam, 2007. "Immigration Unemployment Relationship: The Evidence From Canada ," Australian Economic Papers, Wiley Blackwell, vol. 46(1), pages 52-66, 03.
  35. Jordan Shan, 1999. "Immigration and Unemployment: New evidence from Australia and New Zealand," International Review of Applied Economics, Taylor & Francis Journals, vol. 13(2), pages 253-260.
  36. Hsiao-chuan Chang, 2003. "Do Immigrants Rob Jobs? A Case Study Of Australia," Department of Economics - Working Papers Series 883, The University of Melbourne.
  37. Kunst, Robert M., 1997. "Decision Bounds for Data-Admissible Seasonal Models," Economics Series 51, Institute for Advanced Studies.
  38. Ermini, Luigi & Chang, Dongkoo, 1996. "Testing the joint hypothesis of rationality and neutrality under seasonal cointegration: The case of Korea," Journal of Econometrics, Elsevier, vol. 74(2), pages 363-386, October.
  39. Herrera Gómez, Marcos, 2010. "Causalidad Espacial. Enfoque No Paramétrico
    [Spatial Causality. Non-Parametric Approach]
    ," MPRA Paper 61326, University Library of Munich, Germany.
  40. Michael Reutter, 2000. "Hysteresis in West German Unemployment Reconsidered," CESifo Working Paper Series 240, CESifo Group Munich.
  41. Hsiao-chuan Chang, 2002. "Are Foreign Workers Responsible For The Increasing Unemployment Rate In Taiwan?," Department of Economics - Working Papers Series 853, The University of Melbourne.
  42. Robert M. Kunst & Michael Reutter, 2000. "Decisions on Seasonal Unit Roots," CESifo Working Paper Series 286, CESifo Group Munich.
  43. Jacek Kotlowski, 2005. "Money and prices in the Polish economy. Seasonal cointegration approach," Working Papers 20, Department of Applied Econometrics, Warsaw School of Economics.
  44. Huang, Tai-Hsin & Shen, Chung-Hua, 1999. "Applying the seasonal error correction model to the demand for international reserves in Taiwan," Journal of International Money and Finance, Elsevier, vol. 18(1), pages 107-131, January.
  45. 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.
  46. Philip Kostov & John Lingard, 2005. "Seasonally specific model analysis of UK cereals prices," Econometrics 0507014, EconWPA.
  47. 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.
  48. Beenstock, Michael & Goldin, Ephraim & Nabot, Dan, 1999. "The demand for electricity in Israel," Energy Economics, Elsevier, vol. 21(2), pages 168-183, April.
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