Maximum likelihood seasonal cointegration tests for daily data

Olivier Darné

Economics Bulletin, 2003, vol. 3, issue 18, pages 1-8

Abstract: In this paper we propose an extension of the maximum likelihood seasonal cointegration procedure developed by Lee (1992) for daily time series. We compute the finite sample critical values of the associated test statistics in daily seasonal time series.

Keywords: daily data; seasonal cointegration; seasonality (search for similar items in EconPapers)
JEL-codes: C3 (search for similar items in EconPapers)
Date: 2003 Written
View list of references

Downloads: (external link)
http://www.economicsbulletin.com/2003/volume3/EB-03C30006A.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:ebl:ecbull:v:3:y:2003:i:18:p:1-8

Access Statistics for this article

More articles in Economics Bulletin from Economics Bulletin
Address: Economics Bulletin, Department of Economics, 414 Calhoun Hall, Vanderbilt University, Nashville TN 37235, USA
Series data maintained by John Conley ().