Likelihood Analysis of Seasonal Cointegration
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Likelihood Analysis of Seasonal Cointegration. / Johansen, Søren; Schaumburg, Ernst.
I: Journal of Econometrics, Bind 88, Nr. 2, 1999, s. 301-339.Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › fagfællebedømt
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TY - JOUR
T1 - Likelihood Analysis of Seasonal Cointegration
AU - Johansen, Søren
AU - Schaumburg, Ernst
N1 - JEL classification codes: C32
PY - 1999
Y1 - 1999
N2 - The error correction model for seasonal cointegration is analyzed. Conditions are found under which the process is integrated of order 1 and cointegrated at seasonal frequency, and a representation theorem is given. The likelihood function is analyzed and the numerical calculation of the maximum likelihood estimators is discussed. The asymptotic distribution of the likelihood ratio test for cointegrating rank is given. It is shown that the estimated cointegrating vectors are asymptotically mixed Gaussian. The results resemble the results for cointegration at zero frequency when expressed in terms of a complex Brownian motion. Tables are provided for asymptotic inference.
AB - The error correction model for seasonal cointegration is analyzed. Conditions are found under which the process is integrated of order 1 and cointegrated at seasonal frequency, and a representation theorem is given. The likelihood function is analyzed and the numerical calculation of the maximum likelihood estimators is discussed. The asymptotic distribution of the likelihood ratio test for cointegrating rank is given. It is shown that the estimated cointegrating vectors are asymptotically mixed Gaussian. The results resemble the results for cointegration at zero frequency when expressed in terms of a complex Brownian motion. Tables are provided for asymptotic inference.
KW - Faculty of Social Sciences
KW - autoregressive process
KW - Granger’s theorem
KW - error correction model
KW - complex Brownian motion
U2 - 10.1016/S0304-4076(98)00035-9
DO - 10.1016/S0304-4076(98)00035-9
M3 - Journal article
VL - 88
SP - 301
EP - 339
JO - Journal of Econometrics
JF - Journal of Econometrics
SN - 0304-4076
IS - 2
ER -
ID: 9969138