Journal of the Korean Data and Information Science Society

The Korean Data and Information Science Society (한국데이터정보과학회)
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Seasonal Cointegration Rank Tests for Daily Data

  • Published : 2005.08.31
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Abstract

This paper extends the maximum likelihood seasonal cointegration procedure developed by Johansen and Schaumburg (1999) for daily time series. The finite sample distribution of the associated rank test for dally data is also presented.

Keywords

References

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