Title of article :
A note on the critical values for the maximum likelihood (seasonal) cointegration tests
Author/Authors :
Lee، نويسنده , , Hahn S.; Siklos، نويسنده , , Pierre L. ، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 1995
Abstract :
In this paper the finite sample distributions of the Johansen procedure for cointegration tests using seasonally unadjusted data are presented and compared with the asymptotic distributions. In particular, we consider the data generating process which contains unit roots at the seasonal and zero frequencies, as well as a trend.
Keywords :
Seasonal cointegratilln: Maximum likelihood inference: Finite sample distribution: Asymptotic
Journal title :
Economics Letters
Journal title :
Economics Letters