Advanced SearchSearch Tips
A Feasible Two-Step Estimator for Seasonal Cointegration
facebook(new window)  Pirnt(new window) E-mail(new window) Excel Download
 Title & Authors
A Feasible Two-Step Estimator for Seasonal Cointegration
Seong, Byeong-Chan;
  PDF(new window)
This paper considers a feasible two-step estimator for seasonal cointegration as the extension of and (2005). It is shown that the reducedrank maximum likelihood(ML) estimator for seasonal cointegration can still produce occasional outliers as that for non-seasonal cointegration even though the sizes of them are not extreme as those in non-seasonal cointegration. The ML estimator(MLE) is compared with the two-step estimator in a small Monte Carlo simulation study and we find that the two-step estimator can be an attractive alternative to the MLE, especially, in a small sample.
Reduced-rank estimation;error correction model;cointegrating vector;
 Cited by
GMM Estimation for Seasonal Cointegration,;;;

응용통계연구, 2011. vol.24. 2, pp.227-237 crossref(new window)
GMM Estimation for Seasonal Cointegration, Korean Journal of Applied Statistics, 2011, 24, 2, 227  crossref(new windwow)
Ahn, S. K. and Reinsel, G. C. (1994). Estimation of partially nonstationary vector autoregressive models with seasonal behavior, Journal of Econometrics, 62, 317-350 crossref(new window)

BrAuggemann, R. and LAutkepohl, H. (2005). Practical problems with reduced-rank ML estimators for cointegration parameters and a simple alternative, Oxford Bulletin of Economics & Statistics, 67, 673-690 crossref(new window)

Cubadda, G. (2001). Complex reduced rank models for seasonally cointegrated time series, Oxford Bulletin of Economics and Statistics, 63, 497-511 crossref(new window)

Cubadda, G. and Omtzigt, P. (2005). Small-sample improvements in the statistical analysis of seasonally cointegrated systems, Computational Statistics & Data Analysis, 49, 333-348 crossref(new window)

Gonzalo, J. (1994). Five alternative methods of estimating long-run equilibrium rela- tionships, Journal of Econometrics, 60, 203-233 crossref(new window)

Hansen, G., Kim, J. R. and Mittnik, S. (1998). Testing cointegrating coefficients in vector autoregressive error correction models, Economics Letters, 58, 1-5 crossref(new window)

Johansen, S. (1996). Likelihood-Based Inference in Cointegrated Vector Autoregressive Models, Oxford University Press, Oxford

Johansen, S. and Schaumburg, E. (1999). Likelihood analysis of seasonal cointegration, Journal of Econometrics, 88, 301-339 crossref(new window)

Lee, H. S. (1992). Maximum likelihood inference on cointegration and seasonal cointegration, Journal of Econometrics, 54, 1-47 crossref(new window)

Phillips, P. C. B. (1994). Some exact distribution theory for maximum likelihood estimators of cointegrating coefficients in error correction models, Econometrica, 62,73-93 crossref(new window)