Complex Reduced Rank Models For Seasonally Cointegrated Time Series

Gianluca Cubadda

Oxford Bulletin of Economics and Statistics, 2001, vol. 63, issue 4, 497-511

Abstract: This paper introduces a new representation for seasonally cointegrated variables, namely the complex error correction model, which allows statistical inference to be performed by reduced rank regression. The suggested estimators and tests statistics are asymptotically equivalent to their maximum likelihood counterparts. The small sample properties are evaluated by a Monte Carlo study and an empirical example is presented to illustrate the concepts and methods.

Date: 2001
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Citations: View citations in EconPapers (18)

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https://doi.org/10.1111/1468-0084.00231

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Working Paper: Complex Reduced Rank Models for Seasonally Cointegrated Time Series (2000)
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