Small-sample improvements in the statistical analysis of seasonally cointegrated systems

نویسندگان

  • Gianluca Cubadda
  • Pieter Omtzigt
چکیده

This paper proposes new iterative reduced-rank regression procedures for seasonal cointegration analysis. The suggested methods are motivated by the idea that modelling jointly the cointegration restrictions at the different frequencies may induce some efficiency gain in finite samples. Monte Carlo simulations indicate that the new tests and estimators perform well with respect to already existing statistical procedures. JEL classification: C32

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عنوان ژورنال:
  • Computational Statistics & Data Analysis

دوره 49  شماره 

صفحات  -

تاریخ انتشار 2005