Likelihood Analysis of Seasonal Cointegration

Soren Johansen () and E. Schaumburg

Economics Working Papers from European University Institute

Abstract: The vector autoregressive model for seasonal cointegration is analysed. The general error correction model is discussed and conditions are found under which the process is integrated of order 1 at seasonal frequency and exhibits cointegration. Under these conditions a representation theorem for the solution is given expressed in terms of seasonal random walks. Finally the asymptotic properties of the likelihood ratio test for cointegrating rank is given, and it is shown that the estimated cointegrating vectors are asymptotically mixed Gaussian. The results resemble the result for cointegration at zero frequency but expressed in terms of a complex Brownian motion. Tables are provided for asymptotic inference under various assumptions on the deterministic terms.

Keywords: ECONOMETRICS (search for similar items in EconPapers)
JEL-codes: C00 (search for similar items in EconPapers)
Date: 1997
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Journal Article: Likelihood analysis of seasonal cointegration (1998)
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