Maximum Eigenvalue Test for Seasonal Cointegrating Ranks
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Seong, Byeongchan | - |
dc.contributor.author | Cho, Sinsup | - |
dc.contributor.author | Ahn, Sung K. | - |
dc.date.accessioned | 2023-02-24T07:40:27Z | - |
dc.date.available | 2023-02-24T07:40:27Z | - |
dc.date.issued | 2006-08 | - |
dc.identifier.uri | https://scholarworks.bwise.kr/cau/handle/2019.sw.cau/61019 | - |
dc.description.abstract | The maximum eigenvalue (ME) test for seasonal cointegrating ranks is presented using the approach of Cubadda [Oxford Bulletin of Economics and Statistics (2001), Vol. 63, pp. 497-511], which is computationally more efficient than that of Johansen and Schaumburg [Journal of Econometrics (1999), Vol. 88, pp. 301-339]. The asymptotic distributions of the ME test statistics are obtained for several cases that depend on the nature of deterministic terms. Monte Carlo experiments are conducted to evaluate the relative performances of the proposed ME test and the trace test, and we illustrate these tests using a monthly time series. © Blackwell Publishing Ltd, 2006. | - |
dc.format.extent | 18 | - |
dc.publisher | BLACKWELL PUBL LTD | - |
dc.title | Maximum Eigenvalue Test for Seasonal Cointegrating Ranks | - |
dc.type | Article | - |
dc.identifier.doi | 10.1111/j.1468-0084.2006.00174.x | - |
dc.identifier.bibliographicCitation | OXFORD BULLETIN OF ECONOMICS AND STATISTICS, v.68, no.4, pp 497 - 514 | - |
dc.description.isOpenAccess | N | - |
dc.identifier.wosid | 000239336700005 | - |
dc.identifier.scopusid | 2-s2.0-33746584872 | - |
dc.citation.endPage | 514 | - |
dc.citation.number | 4 | - |
dc.citation.startPage | 497 | - |
dc.citation.title | OXFORD BULLETIN OF ECONOMICS AND STATISTICS | - |
dc.citation.volume | 68 | - |
dc.relation.journalResearchArea | Business & Economics | - |
dc.relation.journalResearchArea | Mathematical Methods In Social Sciences | - |
dc.relation.journalResearchArea | Mathematics | - |
dc.relation.journalWebOfScienceCategory | Economics | - |
dc.relation.journalWebOfScienceCategory | Social Sciences, Mathematical Methods | - |
dc.relation.journalWebOfScienceCategory | Statistics & Probability | - |
dc.description.journalRegisteredClass | scie | - |
dc.description.journalRegisteredClass | ssci | - |
dc.description.journalRegisteredClass | scopus | - |
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