[KSCI] Korea Science Citation Index Service

http://dx.doi.org/10.5351/CKSS.2008.15.3.411

A Feasible Two-Step Estimator for Seasonal Cointegration

Seong, Byeong-Chan (Department of Statistics, Chung-Ang University)

Publication Information

Communications for Statistical Applications and Methods / v.15, no.3, 2008 , pp. 411-420 More about this Journal

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

Reduced-rank estimation; error correction model; cointegrating vector;

Citations & Related Records

Reference

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