Maximum Eigenvalue Test for Seasonal Cointegrating Ranks
- Authors
- Seong, Byeongchan; Cho, Sinsup; Ahn, Sung K.
- Issue Date
- Aug-2006
- Publisher
- BLACKWELL PUBL LTD
- Citation
- OXFORD BULLETIN OF ECONOMICS AND STATISTICS, v.68, no.4, pp 497 - 514
- Pages
- 18
- Journal Title
- OXFORD BULLETIN OF ECONOMICS AND STATISTICS
- Volume
- 68
- Number
- 4
- Start Page
- 497
- End Page
- 514
- URI
- https://scholarworks.bwise.kr/cau/handle/2019.sw.cau/61019
- DOI
- 10.1111/j.1468-0084.2006.00174.x
- 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.
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Collections - College of Business & Economics > Department of Applied Statistics > 1. Journal Articles
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