Complex Reduced Rank Models For Seasonally Cointegrated Time Series

Author: Cubadda, Gianluca

Source: Oxford Bulletin of Economics and Statistics, Volume 63, Number 4, September 2001 , pp. 497-511(15)

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Abstract:

This paper introduces a new representation for seasonally cointegrated variables, namely the complex error correction model, which allows statistical inference to be performed by reduced rank regression. The suggested estimators and tests statistics are asymptotically equivalent to their maximum likelihood counterparts. The small sample properties are evaluated by a Monte Carlo study and an empirical example is presented to illustrate the concepts and methods.

Document Type: Original article

DOI: http://dx.doi.org/10.1111/1468-0084.00231

Affiliations: 1: Dipartimento di Scienze Economiche Gestionali e Sociali, Universita degli Studi del Molise, Italy

Publication date: 2001-09-01