한국통계학회:학술대회논문집 (Proceedings of the Korean Statistical Society Conference)
- 한국통계학회 2005년도 춘계 학술발표회 논문집
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- Pages.13-15
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- 2005
Seasonal cointegration for daily data
- Song, Dae-Gun (Dept. of Statistics, Seoul National University) ;
-
Cho, Sin-Sup
(Dept. of Statistics, Seoul National University)
;
- Park, Suk-Kyung (Dept. of Statistics, Seoul National University)
- 발행 : 2005.05.20
초록
In this paper, we propose an extension of the maximum likelihood seasonal cointegration procedure developed by Johansen and Schaumburg (1999) for daily time series. We presented the finite sample distribution of the associated rank test statistics for daily data.
키워드