Maximum likelihood seasonal cointegration tests for daily data

Olivier Darné

Economics Bulletin, 2003, vol. 3, issue 18, 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 (search for similar items in EconPapers)
Date: 2003-07-28
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