Maximum likelihood seasonal cointegration tests for daily data

In this paper we propose an extension of the maximum likelihood seasonal cointegration procedure developed by Lee (1992) for daily time series. We compute the finite sample critical values of the associated test statistics in daily seasonal time series.

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Year of publication:	2003-07-28
Authors:	Darné, Olivier
Published in:	Economics Bulletin. - AccessEcon, ISSN 1545-2921. - Vol. 3.2003, 18, p. 1-8
Publisher:	AccessEcon
Subject:	daily data

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Extent:	application/pdf
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010630420