Small Sample Improvements in the Statistical Analysis of Seasonally Cointegrated Systems

Gianluca Cubadda () and Pieter Omtzigt ()

Economics & Statistics Discussion Papers from University of Molise, Dept. SEGeS

Abstract: This paper proposes new iterative reduced-rank regression procedures for seasonal cointegration analysis. The suggested methods are motivated by the idea that modelling the cointegration restrictions jointly at different frequencies may increase efficiency in finite samples. Monte Carlo simulations indicate that the new tests and estimators perform well with respect to already existing statistical procedures.

Keywords: Seasonal Cointegration; Reduced Rank Regression. (search for similar items in EconPapers)
JEL-codes: C32 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm and nep-ets
Date: 2003-10-28
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Related works:
Journal Article: Small-sample improvements in the statistical analysis of seasonally cointegrated systems (2005)
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Persistent link: http://EconPapers.repec.org/RePEc:mol:ecsdps:esdp03012

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