Proceedings of the Korean Statistical Society Conference (한국통계학회:학술대회논문집)
- 2005.05a
- /
- Pages.13-15
- /
- 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)
- Published : 2005.05.20
Abstract
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.
Keywords
- Seasonal cointegration;
- Seasonal Error Correction model;
- Finite sample distribution;
- Asymptotic distribution