Communications for Statistical Applications and Methods

  • 제15권3호
  • /
  • Pages.411-420
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  • 2008
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  • 2287-7843(pISSN)
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  • 2383-4757(eISSN)
한국통계학회 (The Korean Statistical Society)
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A Feasible Two-Step Estimator for Seasonal Cointegration

  • 발행 : 2008.05.30
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초록

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.

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참고문헌

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피인용 문헌

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