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Volumn 13, Issue 3, 1997, Pages 369-380

Forecasting of seasonal cointegrated processes

Author keywords

Consumption process; Seasonal cointegration; VAR forecasts

Indexed keywords


EID: 0031231788     PISSN: 01692070     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0169-2070(97)00024-1     Document Type: Article
Times cited : (8)

References (17)
  • 1
    • 0000283092 scopus 로고
    • Estimation of partially nonstationary vector autoregressive models with seasonal behavior
    • Ahn, S.K., Reinsel, G.C., 1994. Estimation of partially nonstationary vector autoregressive models with seasonal behavior. Journal of Econometrics 62, 317-350.
    • (1994) Journal of Econometrics , vol.62 , pp. 317-350
    • Ahn, S.K.1    Reinsel, G.C.2
  • 4
    • 45949119851 scopus 로고
    • Forecasting and testing in cointegrated systems
    • Engle, R.F., Yoo, B.S., 1987. Forecasting and testing in cointegrated systems. Journal of Econometrics 35, 143-159.
    • (1987) Journal of Econometrics , vol.35 , pp. 143-159
    • Engle, R.F.1    Yoo, B.S.2
  • 8
    • 0000158117 scopus 로고
    • Estimation and hypothesis testing of cointegration vectors in Gaussian vector autoregressive models
    • Johansen, S., 1991. Estimation and hypothesis testing of cointegration vectors in Gaussian vector autoregressive models. Econometrica 59, 1551-1580.
    • (1991) Econometrica , vol.59 , pp. 1551-1580
    • Johansen, S.1
  • 9
    • 84981579311 scopus 로고
    • Maximum likelihood estimation and inference on cointegration - With applications to the demand for money
    • Johansen, S., Juselius, K., 1990. Maximum likelihood estimation and inference on cointegration - with applications to the demand for money. Oxford Bulletin of Economics and Statistics 52, 169-210.
    • (1990) Oxford Bulletin of Economics and Statistics , vol.52 , pp. 169-210
    • Johansen, S.1    Juselius, K.2
  • 10
    • 0000665271 scopus 로고
    • Seasonal cointegration, common seasonals, and forecasting seasonal series
    • Kunst, R., 1993. Seasonal cointegration, common seasonals, and forecasting seasonal series. Empirical Economics 18, 761-776.
    • (1993) Empirical Economics , vol.18 , pp. 761-776
    • Kunst, R.1
  • 11
    • 21144473470 scopus 로고
    • Seasonal cointegration in macroeconomic systems: Case studies for small and large European countries
    • Kunst, R., 1993. Seasonal cointegration in macroeconomic systems: case studies for small and large European countries. Review of Economics and Statistics 75, 325-330.
    • (1993) Review of Economics and Statistics , vol.75 , pp. 325-330
    • Kunst, R.1
  • 12
    • 38249009343 scopus 로고
    • Maximum likelihood inference on cointegration and seasonal cointegration
    • Lee, H.S., 1992. Maximum likelihood inference on cointegration and seasonal cointegration. Journal of Econometrics 54, 1-47.
    • (1992) Journal of Econometrics , vol.54 , pp. 1-47
    • Lee, H.S.1
  • 13
    • 21844512042 scopus 로고
    • A note on the critical values for the maximum likelihood (Seasonal) cointegration tests
    • Lee, H.S., Siklos, P.L., 1995. A note on the critical values for the maximum likelihood (Seasonal) cointegration tests. Economics Letters 49, 137-145.
    • (1995) Economics Letters , vol.49 , pp. 137-145
    • Lee, H.S.1    Siklos, P.L.2
  • 14
    • 0027728681 scopus 로고
    • The influence of seasonal adjustment on the Canadian consumption function, 1947-1991
    • Lee, H.S., Siklos, P.L., 1993. The influence of seasonal adjustment on the Canadian consumption function, 1947-1991. Canadian Journal of Economics 26, 575-589.
    • (1993) Canadian Journal of Economics , vol.26 , pp. 575-589
    • Lee, H.S.1    Siklos, P.L.2
  • 16
    • 0000631178 scopus 로고
    • A note with quantiles of the asymptotic distribution of the maximum likelihood cointegration rank test statistics: Four cases
    • Osterwald-Lenum, M., 1992. A note with quantiles of the asymptotic distribution of the maximum likelihood cointegration rank test statistics: four cases. Oxford Bulletin of Economics and Statistics 54, 461-471.
    • (1992) Oxford Bulletin of Economics and Statistics , vol.54 , pp. 461-471
    • Osterwald-Lenum, M.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.