Communications for Statistical Applications and Methods

The Korean Statistical Society (한국통계학회)
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Joint Test for Seasonal Cointegrating Ranks

  • Published : 2008.09.30
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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.

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References

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Cited by

  1. Semiparametric Seasonal Cointegrating Rank Selection vol.24, pp.5, 2011, https://doi.org/10.5351/KJAS.2011.24.5.791