A Feasible Two-Step Estimator for Seasonal Cointegration

Title & Authors
A Feasible Two-Step Estimator for Seasonal Cointegration
Seong, Byeong-Chan;

Abstract
This paper considers a feasible two-step estimator for seasonal cointegration as the extension of $\small{Br{\ddot{u}}ggeman}$ and $\small{L{\ddot{u}}tkepohl}$ (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
1.
GMM Estimation for Seasonal Cointegration, Korean Journal of Applied Statistics, 2011, 24, 2, 227
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