Proceedings of the Korean Statistical Society Conference (한국통계학회:학술대회논문집)
- 2003.10a
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- Pages.275-279
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- 2003
Tests for Seasonal Cointegrating Vectors
- Seong, Byeong-C. (Department of statistics, Seoul National University) ;
- Cho, Sin-S. (Department of statistics, Seoul National University) ;
- Ahn, Sung-K. (Department of Management and Decision Sciences, Washington State University)
- Published : 2003.10.31
Abstract
We obtain the asymptotic distributions of tests statistics for various types of seasonal cointegration based on GRR estimators of Ahn and Cho (2003). These tests are useful in testing for restrictions about cointegrating vectors after Chi-square tests for CCI and common PCIV in Ahn and Cho (2003) or tests for the known CCI and the known PCIVs have been performed.
Keywords
- Seasonal cointegration;
- Gaussian reduced rank estimator;
- Contemporaneous cointegration;
- Polynomial cointegrating vector