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A Feasible Two-Step Estimator for Seasonal Cointegration
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 Title & Authors
A Feasible Two-Step Estimator for Seasonal Cointegration
Seong, Byeong-Chan;
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 Abstract
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.
 Keywords
Reduced-rank estimation;error correction model;cointegrating vector;
 Language
English
 Cited by
1.
GMM Estimation for Seasonal Cointegration,;;;

응용통계연구, 2011. vol.24. 2, pp.227-237 crossref(new window)
1.
GMM Estimation for Seasonal Cointegration, Korean Journal of Applied Statistics, 2011, 24, 2, 227  crossref(new windwow)
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