Maximum Eigenvalue test for seasonal cointegrating ranks

Article Abstract:

Adoption of approach of Cubadda for performance of Maximum Eigenvalue test on seasonal cointegration ranks, to evaluate results obtained by using different statistical methods, is described.

South Korea, Data Processing, Methods, Evaluation, Statistical methods, Electronic data processing

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Interpretation of cointegrating coefficients in the cointegrated vector autoregressive model

Article Abstract:

A study using the vector autogressive model for interpreting the co-efficients of an identified cointegrating correlation, is presented.

Models, Autoregression (Statistics)

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Inference of seasonal cointegration: Gaussian reduced rank estimation and tests for various types of cointegration

Article Abstract:

The article examines Gaussian processes to examine the feasibility of seasonal cointegration models for economic forecasting.

Economic forecasting, Gaussian processes

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