| Title:
|
Estimation and testing of cointegration relationships with strongly seasonal monthly data (English) |
| Author:
|
Caminero, Emilio |
| Author:
|
Díaz-Emparanza, Ignacio |
| Language:
|
English |
| Journal:
|
Kybernetika |
| ISSN:
|
0023-5954 |
| Volume:
|
33 |
| Issue:
|
6 |
| Year:
|
1997 |
| Pages:
|
607-631 |
| . |
| Category:
|
math |
| . |
| MSC:
|
62M10 |
| MSC:
|
62P20 |
| MSC:
|
91B84 |
| idZBL:
|
Zbl 0905.62117 |
| idMR:
|
MR1602364 |
| . |
| Date available:
|
2009-09-24T19:12:03Z |
| Last updated:
|
2012-06-06 |
| Stable URL:
|
http://hdl.handle.net/10338.dmlcz/124125 |
| . |
| Reference:
|
[1] T. W. Anderson: An Introduction to Multivariate Statistical Analysis.Chapter 12. Wiley, New York 1984. Zbl 0651.62041, MR 0771294 |
| Reference:
|
[2] J. J. Beaulieu, J. A. Miron: Seasonal unit roots in aggregate U.S. data.J. Econometrics 54 (1993), 305-328. Zbl 0756.62041, MR 1202368 |
| Reference:
|
[3] R. F. Engle, C. W. J. Granger: Cointegration and error correction: representation, estimation and testing.Econometrica 55 (1987), 251-276. MR 0882095 |
| Reference:
|
[4] C. W. J. Granger: Some properties of time series data and their use in econometric model especification.J. Econometrics 16 (1981), 121-130. |
| Reference:
|
[5] C. W. J. Granger: Developments in the study of cointegrated economic variables.Oxford Bull. Econom. Statistics 48 (1986), 213-228. |
| Reference:
|
[6] S. Hylleberg R. F. Engle C. W. J. Granger, B. S. Yoo: Seasonal integration and cointegration.J. Econometrics 44 (1990), 215-238. MR 1060457 |
| Reference:
|
[7] S. Johansen: Statistical analysis of cointegration vectors.J. Econom. Dynamics Control 12 (1988), 231-254. Zbl 0647.62102, MR 0986516 |
| Reference:
|
[8] H. S. Lee: Maximum likelihood inference on cointegration and seasonal cointegration.J. Econometrics 54 (1992), 1-47. Zbl 0757.62058, MR 1192472 |
| . |
