- Small-sample improvements in the statistical analysis of seasonally cointegrated systems
- Number of pages
- Amsterdam: Department of Quantitative Economics
- UvA Econometrics Discussion Paper
- Volume | Edition (Serie)
- Document type
- Working paper
- Faculty of Economics and Business (FEB)
- Amsterdam School of Economics Research Institute (ASE-RI)
- This paper proposes new iterative reduced-rank regression procedures for seasonal cointegration analysis. 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.
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