• The Korean Journal of Applied Statistics
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• v.21 no.5
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• pp.783-789
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• 2008

We investigate the effects of the misspecification of cointegrating(CI) ranks at other frequencies on the inference of seasonal models at the frequency of interest; our study includes tests for CI ranks and estimation of CI vectors. Earlier studies focused mostly on a single frequency corresponding to one seasonal root at a time, ignoring possible cointegration at the remaining frequencies. We investigate the effects of the mis-specification, especially in finite samples, by adopting Gaussian reduced rank(GRR) estimation by Ahn and Reinsel (1994) that considers cointegration at all frequencies of seasonal unit roots simultaneously. It is observed that the identification of the seasonal CI rank at the frequency of interest is sensitive to the mis-prespecification of the CI ranks at other frequencies, mainly when the CI ranks at the remaining frequencies are underspecified.

• Communications for Statistical Applications and Methods
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• v.15 no.5
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• pp.719-726
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• 2008

In this paper we consider a joint test for seasonal cointegrating(CI) ranks that enables us to simultaneously model cointegrated structures across seasonal unit roots in seasonal cointegration. A CI rank test for a single seasonal unit root is constructed and extended to a joint test for multiple seasonal unit roots. Their asymptotic distributions and selected critical values for the joint test are obtained. Through a small Monte Carlo simulation study, we evaluate performances of the tests.