• Journal of the Korean Data and Information Science Society
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• 제16권3호
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• pp.695-703
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• 2005

This paper extends the maximum likelihood seasonal cointegration procedure developed by Johansen and Schaumburg (1999) for daily time series. The finite sample distribution of the associated rank test for dally data is also presented.

• Communications for Statistical Applications and Methods
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• 제15권5호
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• pp.719-726
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• 2008

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.

• 한국통계학회:학술대회논문집
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• 한국통계학회 2005년도 춘계 학술발표회 논문집
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• pp.13-15
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• 2005

In this paper, we propose an extension of the maximum likelihood seasonal cointegration procedure developed by Johansen and Schaumburg (1999) for daily time series. We presented the finite sample distribution of the associated rank test statistics for daily data.

• Journal of the Korean Statistical Society
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• 제36권4호
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• pp.501-522
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• 2007

We propose an estimation procedure that can be used for detecting structural changes in the seasonal cointegrated vector autoregressive model. The asymptotic properties of the estimates and the test statistics for the parameter change are provided. A simulation example is presented to illustrate this method and its concept.