Small-sample improvements in the statistical analysis of seasonally cointegrated systems

Computational Statistics and Data Analysis

Volumn 49, Issue 2, 2005, Pages 333-348

  Cubadda, Gianluca ^a   Omtzigt, Pieter ^b  

^a UNIVERSITY OF MOLISE   (Italy)

^b UNIVERSITY OF AMSTERDAM   (Netherlands)

Author keywords

Reduced rank regression; Seasonal cointegration

Indexed keywords

COMPUTER SIMULATION; ECONOMICS; MATHEMATICAL MODELS; MONTE CARLO METHODS; TIME SERIES ANALYSIS; VECTORS;

ERROR CORRECTION MODELS; REDUCED RANK REGRESSION; SEASONAL ADJUSTMENTS; SEASONAL COINTEGRATION;

REGRESSION ANALYSIS;

EID: 17644366833     PISSN: 01679473     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.csda.2004.05.016     Document Type: Article

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