Communications for Statistical Applications and Methods

The Korean Statistical Society (한국통계학회)
권호 표지
DOI QR코드

DOI QR Code

A Feasible Two-Step Estimator for Seasonal Cointegration

  • Published : 2008.05.30
Download PDF
⟨ Previous Next ⟩

Abstract

This paper considers a feasible two-step estimator for seasonal cointegration as the extension of $Br{\ddot{u}}ggeman$ and $L{\ddot{u}}tkepohl$ (2005). It is shown that the reducedrank maximum likelihood(ML) estimator for seasonal cointegration can still produce occasional outliers as that for non-seasonal cointegration even though the sizes of them are not extreme as those in non-seasonal cointegration. The ML estimator(MLE) is compared with the two-step estimator in a small Monte Carlo simulation study and we find that the two-step estimator can be an attractive alternative to the MLE, especially, in a small sample.

Keywords

References

  1. Ahn, S. K. and Reinsel, G. C. (1994). Estimation of partially nonstationary vector autoregressive models with seasonal behavior, Journal of Econometrics, 62, 317-350 https://doi.org/10.1016/0304-4076(94)90027-2
  2. BrAuggemann, R. and LAutkepohl, H. (2005). Practical problems with reduced-rank ML estimators for cointegration parameters and a simple alternative, Oxford Bulletin of Economics & Statistics, 67, 673-690 https://doi.org/10.1111/j.1468-0084.2005.00136.x
  3. Cubadda, G. (2001). Complex reduced rank models for seasonally cointegrated time series, Oxford Bulletin of Economics and Statistics, 63, 497-511 https://doi.org/10.1111/1468-0084.00231
  4. Cubadda, G. and Omtzigt, P. (2005). Small-sample improvements in the statistical analysis of seasonally cointegrated systems, Computational Statistics & Data Analysis, 49, 333-348 https://doi.org/10.1016/j.csda.2004.05.016
  5. Gonzalo, J. (1994). Five alternative methods of estimating long-run equilibrium rela- tionships, Journal of Econometrics, 60, 203-233 https://doi.org/10.1016/0304-4076(94)90044-2
  6. Hansen, G., Kim, J. R. and Mittnik, S. (1998). Testing cointegrating coefficients in vector autoregressive error correction models, Economics Letters, 58, 1-5 https://doi.org/10.1016/0165-1765(96)00835-X
  7. Johansen, S. (1996). Likelihood-Based Inference in Cointegrated Vector Autoregressive Models, Oxford University Press, Oxford
  8. Johansen, S. and Schaumburg, E. (1999). Likelihood analysis of seasonal cointegration, Journal of Econometrics, 88, 301-339 https://doi.org/10.1016/S0304-4076(98)00035-9
  9. Lee, H. S. (1992). Maximum likelihood inference on cointegration and seasonal cointegration, Journal of Econometrics, 54, 1-47 https://doi.org/10.1016/0304-4076(92)90098-C
  10. Phillips, P. C. B. (1994). Some exact distribution theory for maximum likelihood estimators of cointegrating coefficients in error correction models, Econometrica, 62,73-93 https://doi.org/10.2307/2951476

Cited by

  1. GMM Estimation for Seasonal Cointegration vol.24, pp.2, 2011, https://doi.org/10.5351/KJAS.2011.24.2.227