Small Sample Improvements in the Statistical Analysis of Seasonally Cointegrated Systems

This paper proposes new iterative reduced-rank regression procedures for seasonal cointegration analysis. The suggested methods are motivated by the idea that modelling the cointegration restrictions jointly at different frequencies may increase efficiency in finite samples. Monte Carlo simulations indicate that the new tests and estimators perform well with respect to already existing statistical procedures.

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Year of publication:	2003-10-28
Authors:	Cubadda, Gianluca ; Omtzigt, Pieter
Institutions:	Dipartimento di Economia, Gestione, Società e Istituzioni, Università degli Studi del Molise
Subject:	Seasonal Cointegration \| Reduced Rank Regression

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Extent:	application/pdf
Series:	Economics & Statistics Discussion Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	20 pages
Classification:	C32 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005583227