Seasonal integration and cointegration
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Seasonal integration and cointegration a Monte Carlo study on the implications of seasonality for estimation and testing of long run relationships through static regressions by Niels Haldrup

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Published by typescript in [s.l.] .
Written in English


Book details:

Edition Notes

Dissertation (M.A.) - University of Warwick, 1988.

Statementby Niels Haldrup.
ID Numbers
Open LibraryOL13938763M

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Request PDF | On Jan 1, , Svend Hylleberg and others published Seasonal Integration and Cointegration in Economic Time Series | Find, read and Author: Svend Hylleberg. Seasonal cointegration for monthly data. B.S., Seasonal integration and cointegration. The book concludes with a discussion of some nonlinear seasonal and periodic models. The Author: Olivier Darné. Hylleberg, S. & Engle, R. F. & Granger, C. W. J. & Yoo, B. S., "Seasonal integration and cointegration," Journal of Econometrics, Elsevier, vol. 44(), pages. Journal of Econometrics 44 () North-Holland SEASONAL INTEGRATION AND COINTEGRATION* S. HYLLEBERG Unwersity of Aarhus, DK Aarhus, Denmark R.F. ENGLE and C.W.J. GRANGER Unioersio, of California San Diego, La Jolla, CA , USA B.S. Y00 Pennsvlnania State University, University Park, PA, USA This paper develops tests for roots in Cited by:

This book addresses the need for a high-level analysis of unit roots and cointegration. "Time Series, Unit Roots, and Cointegration" integrates the theory of stationary sequences and issues arising in the estimation of their parameters, distributed lags, Cited by: Corrections. All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:fth:penstaSee general information about how to correct material in RePEc.. For technical questions regarding this item, or to correct its authors, title, abstract. Lee HS () Maximum likelihood inference on cointegration and seasonal cointegration. J Econom –47 zbMATH Google Scholar Osterwald-Lenum M () Recalculated and extended tables of the asymptotic distribution of some . "Analysis of Integrated and Cointegrated Time Series with R (2 nd Edition) offers a rigorous introduction to unit roots and cointegration, along with numerous examples in R to illustrate the various methods. The book, now in its second edition, provides an overview of this active area of research in time series econometrics.

next step in the analysis of co integration among a set of time series. In Section 3 we review cointegration when seasonality can be captured mainly by constant seasonal dummy variables, or by seasonal or periodic cointegration. It is assumed here that any seasonal variation can thus be captured by adding or modifyingCited by:   Seasonal cointegration generalizes the idea of cointegration to processes with unit roots at frequencies different from 0. Here, “common seasonals,” also a dual notion of common trends, is adopted for the seasonal case. The features are demonstrated in exemplary models for German and U.K. data. An evaluation of the predictive value of accounting for seasonal Cited by: The book of Wojciech W. Charemza and D. F. Deadman is one of the best book about Contegration test, it's very easy. This book: "New Directions in Econometric Practice: General to Specific Modelling, Cointegration, and Vector autoregression" is meant to be used as a text, not read as a reference.5/5(3). Important developments in modelling seasonality have occurred - the last ten years have seen improvements in the model based procedures, the discovery of periodic models, seasonal integration and cointegration, and in the development of economictheories of seasonality.