×
Caminero, Emilio; Díaz-Emparanza, Ignacio

Estimation and testing of cointegration relationships with strongly seasonal monthly data. (English) Zbl 0905.62117

Kybernetika 33, No. 6, 607-631 (1997).
Summary: This paper extends the method proposed by H. S. Lee [J. Econom. 54, No. 1-3, 1-47 (1992; Zbl 0757.62058)] for quarterly nonstationary data, considering the estimation and testing for seasonal cointegration relationships when dealing with strongly seasonal monthly data. The testing procedure is based on the maximum-likelihood estimation of the ‘error correction mechanism’ for the vector of series considered. Finite sample critical values for the cointegration test statistics at every frequency of interest are obtained by Monte Carlo simulations. Finally, the tests are applied to Spanish production indexes data.

MSC:

62P20 Applications of statistics to economics
91B84 Economic time series analysis

Keywords:

error correction mechanism; seasonal cointegration; maximum-likelihood; Monte Carlo simulations

Citations:

Zbl 0757.62058
PDFBibTeX XMLCite
\textit{E. Caminero} and \textit{I. Díaz-Emparanza}, Kybernetika 33, No. 6, 607--631 (1997; Zbl 0905.62117)
Full Text: EuDML Link

References:

[1] T. W. Anderson: An Introduction to Multivariate Statistical Analysis. Chapter 12. Wiley, New York 1984. · Zbl 0651.62041
[2] J. J. Beaulieu, J. A. Miron: Seasonal unit roots in aggregate U.S. data. J. Econometrics 54 (1993), 305-328. · Zbl 0756.62041 · doi:10.1016/0304-4076(93)90018-Z
[3] R. F. Engle, C. W. J. Granger: Cointegration and error correction: representation, estimation and testing. Econometrica 55 (1987), 251-276. · Zbl 0613.62140 · doi:10.2307/1913236
[4] C. W. J. Granger: Some properties of time series data and their use in econometric model especification. J. Econometrics 16 (1981), 121-130.
[5] C. W. J. Granger: Developments in the study of cointegrated economic variables. Oxford Bull. Econom. Statistics 48 (1986), 213-228.
[6] S. Hylleberg R. F. Engle C. W. J. Granger, B. S. Yoo: Seasonal integration and cointegration. J. Econometrics 44 (1990), 215-238. · Zbl 0709.62102 · doi:10.1016/0304-4076(90)90080-D
[7] S. Johansen: Statistical analysis of cointegration vectors. J. Econom. Dynamics Control 12 (1988), 231-254. · Zbl 0647.62102 · doi:10.1016/0165-1889(88)90041-3
[8] H. S. Lee: Maximum likelihood inference on cointegration and seasonal cointegration. J. Econometrics 54 (1992), 1-47. · Zbl 0757.62058 · doi:10.1016/0304-4076(92)90098-C
This reference list is based on information provided by the publisher or from digital mathematics libraries. Its items are heuristically matched to zbMATH identifiers and may contain data conversion errors. In some cases that data have been complemented/enhanced by data from zbMATH Open. This attempts to reflect the references listed in the original paper as accurately as possible without claiming completeness or a perfect matching.