Small-sample improvements in the statistical analysis of seasonally cointegrated systems

Cubadda, Gianluca; Omtzigt, Pieter

doi:10.1016/j.csda.2004.05.016

Cited by 22 publications

(30 citation statements)

References 23 publications

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“…Second, the complex ECM makes it extremely easy to extend certain theories related to seasonal cointegration, which are very difficult or impossible to implement if we use other approaches of the previous literature, such as JS. For example, Cubadda and Omtzigt (2005) proposed new complex ECMs for jointly modeling the cointegration restrictions across seasonal unit roots. Also, Seong, Cho, and Ahn (2006) developed the maximum eigenvalue test for seasonal cointegrating (CI) ranks using the complex ECM.…”

Section: Introductionmentioning

confidence: 99%

Extended complex error correction models for seasonal cointegration

Seong

2009

Journal of the Korean Statistical Society

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a b s t r a c tIn this paper, we extend the complex error correction model (ECM) of [Cubadda, G. (2001). Complex reduced rank models for seasonally cointegrated time series. Oxford Bulletin of Economics and Statistics, 63, 497-511] to models with two types of deterministic terms: (i) restricted seasonal dummies and constant; (ii) restricted seasonal dummies and unrestricted constant. These types of deterministic terms are most frequently adopted in the analysis of seasonal cointegration by many practitioners and researchers, because the other type -where all seasonal dummies and constant terms are unrestricted -may yield oscillating trends. We obtain the limiting distribution of the likelihood ratio (LR) test for the seasonal cointegrating (CI) rank in the extended models. We also provide asymptotic and finite critical values for the test.

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Section: Introductionmentioning

confidence: 99%

Extended complex error correction models for seasonal cointegration

Seong

2009

Journal of the Korean Statistical Society

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“…For seasonal cointegration, the TR tests for seasonal CI ranks have been considered by Lee (1992), Johansen and Schaumburg (henceforth, JS) (1999), Cubadda (2001) and Cubadda and Omtzigt (2005) among others. Franses and Kunst (1999) calculated the finite sample critical values of the TR and ME tests in the quarterly model used by Lee (1992) that does not incorporate polynomial (non‐synchronous) cointegration at π/2.…”

Section: Introductionmentioning

confidence: 99%

Maximum Eigenvalue Test for Seasonal Cointegrating Ranks*

2006

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The maximum eigenvalue (ME) test for seasonal cointegrating ranks is presented using the approach of Cubadda [Oxford ]. 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.

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“…where j  and j  are j n r  -matrices with rank equal to j r for j=1,2, and   and   are complex 3 n r  -matrices with rank equal to 3 r , see Cubadda (2001) and Cubadda and Omtzigt (2005).…”

Section: Common Stochastic Seasonalitymentioning

confidence: 99%