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A note on the critical values for the maximum likelihood (seasonal) cointegration tests. (1995). Siklos, Pierre ; LEE, Hahn.
In: Economics Letters.
RePEc:eee:ecolet:v:49:y:1995:i:2:p:137-145.

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  1. Testing for the cointegration rank between Periodically Integrated processes. (2022). del Barrio Castro, Tomás.
    In: MPRA Paper.
    RePEc:pra:mprapa:112730.

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  2. Testing for the cointegration rank between Periodically Integrated processes. (2021). del Barrio, Tomas.
    In: MPRA Paper.
    RePEc:pra:mprapa:112731.

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  3. Time Series Models for Business and Economic Forecasting. (2014). Franses, Philip Hans ; Opschoor, Anne ; van Dijk, Dick.
    In: Cambridge Books.
    RePEc:cup:cbooks:9780521520911.

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  4. House prices, collateral constraint, and the asymmetric effect on consumption. (2010). Chen, Shiu-Sheng ; Chou, Yu-Hsi.
    In: Journal of Housing Economics.
    RePEc:eee:jhouse:v:19:y:2010:i:1:p:26-37.

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  5. Bonferroni correction for seasonal cointegrating ranks. (2009). Seong, Byeongchan .
    In: Economics Letters.
    RePEc:eee:ecolet:v:103:y:2009:i:1:p:42-44.

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  6. Testing of seasonal integration and cointegration with fractionally integrated techniques: An application to the Danish labour demand. (2008). Gil-Alana, Luis.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:25:y:2008:i:2:p:326-339.

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  7. Estimation of the Equilibrium Real Exchange Rate in Russia: Trade-Balance Approach. (2007). Ivanova, Nadezhda.
    In: Working Papers.
    RePEc:cfr:cefirw:w0102.

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  8. Estimation of the Equilibrium Real Exchange Rate in Russia: Trade-Balance Approach. (2007). Ivanova, Nadezhda.
    In: Working Papers.
    RePEc:abo:neswpt:w0102.

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  9. Seasonal cointegration for monthly data. (2004). Darné, Olivier ; Darne, Olivier.
    In: Economics Letters.
    RePEc:eee:ecolet:v:82:y:2004:i:3:p:349-356.

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  10. Forecasting performance of seasonal cointegration models. (2002). Lyhagen, Johan ; Lof, Marten.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:18:y:2002:i:1:p:31-44.

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  11. On forecasting cointegrated seasonal time series. (2001). Franses, Philip Hans ; Lof, Marten.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:17:y:2001:i:4:p:607-621.

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  12. Nonstationary stochastic seasonality and the German M2 money demand function. (2000). Bohl, Martin T..
    In: European Economic Review.
    RePEc:eee:eecrev:v:44:y:2000:i:1:p:61-70.

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  13. Complex Reduced Rank Models for Seasonally Cointegrated Time Series. (2000). Cubadda, Gianluca.
    In: Econometric Society World Congress 2000 Contributed Papers.
    RePEc:ecm:wc2000:0092.

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  14. Ajuste Estacional e Integración en Variables Macroeconómicas. (2000). Soto, Raimundo.
    In: Working Papers Central Bank of Chile.
    RePEc:chb:bcchwp:73.

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  15. Hysteresis in West German Unemployment Reconsidered. (2000). Reutter, Michael .
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_240.

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  16. Common cycles in seasonal non?stationary time series. (1999). Cubadda, Gianluca.
    In: Journal of Applied Econometrics.
    RePEc:wly:japmet:v:14:y:1999:i:3:p:273-291.

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  17. Money Demand and Seasonal Cointegration. (1999). Shen, Chung-Hua ; Huang, Tai-Hsin.
    In: International Economic Journal.
    RePEc:taf:intecj:v:13:y:1999:i:3:p:97-123.

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  18. On the role of seasonal intercepts in seasonal cointegration. (1998). Kunst, Robert ; Franses, Philip Hans ; Franses, Ph. H. B. F., .
    In: Econometric Institute Research Papers.
    RePEc:ems:eureir:1552.

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  19. The role of seasonality in economic time series reinterpreting money-output causality in U.S. data. (1997). Siklos, Pierre ; LEE, Hahn.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:13:y:1997:i:3:p:381-391.

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  20. Forecasting of seasonal cointegrated processes. (1997). Reimers, Hans-Eggert.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:13:y:1997:i:3:p:369-380.

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References

References cited by this document

  1. Engle, R.F. ; Granger, C.W.J. Cointegration and error correction: Representation, estimation and testing. 1987 Econometrica. 55 251-276
    Paper not yet in RePEc: Add citation now

  2. Ghysels, E. ; Lee, H.S. ; Noh, J. Testing for unit roots in seasonal time series: Some theoretical extensions and a Monte Carlo investigation. 1994 Journal of Econometrics. 62 415-442

  3. Granger, C.W.J. ; Siklos, P.L. Systematic sampling, temporal aggregation, seasonal adjustment and cointegration. 1995 Journal of Econometrics. -

  4. Johansen, S. Estimation and hypothesis testing of cointegration vectors in Gaussian vector autoregressive models. 1991 Econometrica. 59 1551-1580

  5. Johansen, S. Statistical analysis of cointegration vectors. 1988 Journal of Economic Dynamics and Control. 12 231-254

  6. Johansen, S. ; Juselius, K. Maximum likelihood estimation and inference on cointegration — With applications to demand for money. 1990 Oxford Bulletin of Economics and Statistics. 52 169-210

  7. Lee, H.S. Maximum likelihood inference on cointegration and seasonal cointegration. 1992 Journal of Econometrics. 54 1-47

  8. Lee, H.S. ; Siklos, P.L. The influence of seasonal adjustment on the Canadian consumption function: 1947–1991. 1993 Canadian Journal of Economics. 26 575-589

  9. Osterwald-Lenum, M. A note with quantiles of the asymptotic distribution of the maximum likelihood cointegration rank test statistics. 1992 Oxford Bulletin of Economics and Statistics. 54 461-472

  10. Perron, P. ; Campbell, J.Y. A note on Johansen's cointegration procedure when trends are present. 1993 Empirical Economics. 18 777-789

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  5. Testing of seasonal integration and cointegration with fractionally integrated techniques: An application to the Danish labour demand. (2008). Gil-Alana, Luis.
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  10. Using the HEGY Procedure When Not All Roots Are Present. (2007). del Barrio Castro, Tomás.
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