On the role of seasonal intercepts in seasonal cointegration

Article Abstract:

A simple modification of the standard seasonal cointegration analysis is presented. Critical values for the various test statistics in the case of one to six variables were tabulated. The standard method and the proposed restricted method were compared to four quarterly macroeconomic aggregates for Austria which revealed that the new technique can lead to several estimates of the rank of long-run matrices and to different estimates of the cointegrating vectors.

Research, Economic aspects, Austria, Seasonal variations (Economics)

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Practical problems with reduced-rank ML estimators for cointegration parameters and a simple alternative

Article Abstract:

A solution for problems existing in Johansen's reduced-rank maximum likelihood (ML) estimators for cointegration guidelines in vector error correction models is presented, by generalized least squares.

United States, Venture Analysis, Models, Risk assessment, Probabilities, Probability theory, Vector analysis

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Cointegration testing under structural breaks: a robust extended error correction model

Article Abstract:

Testing of various error correction models under different conditions is presented. Effects of structural breaks on the models were demonstrated with Monte Carlo experiments.

Engineering Services, Engineering for Construction Industry, Statistical Data Included, Testing, Practice, Engineering firms, Structural engineering, Tests, Model theory, Integration, Functional, Roots, Numerical, Functional integration (Mathematics), Numerical roots, Construction engineering

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