Autori
Johansen, Soren
SCHAUMBURG, Ernst

Titolo
Likelihood analysis of seasonal cointegration
Periodico
European University Institute of Badia Fiesolana (Fi). Department of Economics - Working papers
Anno: 1997 - Fascicolo: 16 - Pagina iniziale: 1 - Pagina finale: 39

The vector autoregressive model for seasonal cointegration is analysed. The general error correction model is discussed and conditions are found under which the process is integrated of order 1 at seasonal frequency and exhibits cointegration. Under these conditions a representation theorem for the solution is given expressed in terms of seasonal random walks. Finally the asymptotic properties of the likelihood ratio test for cointegrating rank is given, and it is shown that the estimated cointegrating vectors are asymptotically mixed Gaussian. The results resemble the result for cointegration at zero frequency but expressed in terms of a complex Brownian motion. Tables are provided for asymptotic inference under various assumptions on the deterministic terms. Keywords: Autoregressive process; Granger's theorem; Error correction model; Complex Brownian motion.



Testo completo: http://hdl.handle.net/1814/625

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