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Joint Test for Seasonal Cointegrating Ranks
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 Title & Authors
Joint Test for Seasonal Cointegrating Ranks
Seong, Byeong-Chan; Yi, Yoon-Ju;
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 Abstract
In this paper we consider a joint test for seasonal cointegrating(CI) ranks that enables us to simultaneously model cointegrated structures across seasonal unit roots in seasonal cointegration. A CI rank test for a single seasonal unit root is constructed and extended to a joint test for multiple seasonal unit roots. Their asymptotic distributions and selected critical values for the joint test are obtained. Through a small Monte Carlo simulation study, we evaluate performances of the tests.
 Keywords
Seasonal cointegration;seasonal unit roots;Gaussian reduced rank estimation;reduced rank regression;
 Language
English
 Cited by
1.
Semiparametric Seasonal Cointegrating Rank Selection,;;;

응용통계연구, 2011. vol.24. 5, pp.791-797 crossref(new window)
1.
Semiparametric Seasonal Cointegrating Rank Selection, Korean Journal of Applied Statistics, 2011, 24, 5, 791  crossref(new windwow)
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