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faculty: "FEB" and publication year: "2005"
| Authors | G. Cubadda, P.H. Omtzigt | | Title | Small-sample improvements in the statistical analysis of seasonally cointegrated systems |
| Journal | Computational Statistics and Data Analysis |
| Volume | 49 |
| Year | 2005 |
| Issue | 2 |
| Pages | 333-348 |
| ISSN | 01679473 |
| Faculty | Faculty of Economics and Business |
| Institute/dept. | FEB: Research Institute in Economics and Econometrics Amsterdam (RESAM) |
| Abstract | New iterative reduced-rank regression procedures for seasonal cointegration analysis were proposed. The suggested methods are motivated by the idea that modelling the cointegration restrictions jointly at different frequencies may increase efficiency in finite samples. Monte Carlo simulations indicate that the new tests and estimators perform well with respect to already existing statistical procedures. |
| Document type | Article |
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