کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1144661 957426 2015 8 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
A simple GLS procedure for seasonal cointegration
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
پیش نمایش صفحه اول مقاله
A simple GLS procedure for seasonal cointegration
چکیده انگلیسی

I introduce a simple generalized least squares procedure for seasonal cointegration that enables us to estimate the seasonal vector error correction model with its standard errors and to determine seasonal cointegrating ranks. The procedure can be easily implemented in comparison with the maximum likelihood method because all the computations are based on closed form expressions. I conduct Monte Carlo experiments to evaluate the proposed procedure and present an empirical example to illustrate the procedure.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of the Korean Statistical Society - Volume 44, Issue 3, September 2015, Pages 469–476
نویسندگان
,