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Small Sample Improvements in the Statistical Analysis of Seasonally Cointegrated Systems
Gianluca Cubadda ()
Pieter Omtzigt Economics & Statistics Discussion Papers from University of Molise, Dept. SEGeS
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
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Downloads: (external link) http://web.unimol.it/progetti/repec/mol/ecsdps/ESDP03012.pdf (application/pdf)
Related works: Journal Article: Small-sample improvements in the statistical analysis of seasonally cointegrated systems (2005) This item may be available elsewhere in EconPapers: Search for items with the same title.
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Persistent link: http://EconPapers.repec.org/RePEc:mol:ecsdps:esdp03012
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