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The maximum eigenvalue (ME) test for seasonal cointegrating ranks is presented using the approach of Cubadda ["Oxford Bulletin of Economics and Statistics" (2001), Vol. 63, pp. 497-511], which is computationally more efficient than that of Johansen and Schaumburg ["Journal of Econometrics"...
Persistent link: https://www.econbiz.de/10005682251
An extension of Gaussian reduced rank estimation of Ahn and Reinsel ("Journal of Econometrics", Vol. 62, pp. 317-350, 1994) to seasonal periods other than four is presented. Simple adjustments for estimation that are necessary because of complex-valued seasonal unit roots are presented in detail...
Persistent link: https://www.econbiz.de/10005186780