1 |
Ghysels, E. and Osborn, D. R. (2001). The Econometric Analysis of Seasonal Time Series, Cambridge University Press.
|
2 |
Franses, P. H. and Hobijn, B. (1997). Critical values for unit root tests in seasonal time series, Journal of Applied Statistics, 24, 25-47.
DOI
ScienceOn
|
3 |
Hamilton, J. D. (1994). Time Series Analysis, Princeton University Press, Princeton.
|
4 |
Hylleberg, S., Engle, R. F., Granger, C.W. J. and Yoo, B. S. (1990). Seasonal integration and cointegration, Journal of Econometrics, 44, 215-238.
DOI
ScienceOn
|
5 |
Johansen, S. (1988). Statistical analysis of cointegration vectors, Journal of Economic Dynamics and Control, 12, 231-254.
DOI
ScienceOn
|
6 |
Johansen, S. (1996). Likelihood-Based Inference in Cointegrated Vector Autoregressive Models, 2nd edition, Oxford University Press, Oxford.
|
7 |
Johansen, S. and Schaumburg, E. (1999). Likelihood analysis of seasonal cointegration, Journal of Econometrics, 88, 301-339.
DOI
ScienceOn
|
8 |
Lee, H. S. (1992). Maximum likelihood inference on cointegration and seasonal cointegration, Journal of Econometrics, 54, 1-47.
DOI
ScienceOn
|
9 |
Lof, M. and Lyhagen, J. (2002). Forecasting performance of seasonal cointegration models, International Journal of Forecasting, 18, 31-44.
DOI
ScienceOn
|
10 |
Lutkepohl, H. (2005). New Introduction to Multiple Time Series Analysis, Springer.
|
11 |
Seong, B. (2009). Bonferroni correction for seasonal cointegrating ranks, Economics Letters, 103, 42-44.
DOI
ScienceOn
|
12 |
Seong, B., Ahn, S. K. and Jeon, Y. (2008). A note on spurious regression in seasonal time series, Journal of Statistical Computation and Simulation, 78, 843-851.
DOI
ScienceOn
|
13 |
Cubadda, G. (2001). Complex reduced rank models for seasonally cointegrated time series, Oxford Bulletin of Economics and Statistics, 63, 497-511.
DOI
ScienceOn
|
14 |
Ahn, S. K., Cho, S. and Seong, B. C. (2004). Inference of seasonal cointegration: Gaussian reduced rank estimation and tests for various types of cointegration, Oxford Bulletin of Economics and Statistics, 66, 261-284.
DOI
ScienceOn
|
15 |
Ahn, S. K. and Reinsel, G. C. (1994). Estimation of partially nonstationary vector autoregressive models with seasonal behavior, Journal of Econometrics, 62, 317-350.
DOI
ScienceOn
|
16 |
Chatterjee, S. and Ravikumar, B. (1992). A neoclassical model with seasonal fluctuations, Journal of Monetary Economics, 29, 59–86.
|