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Complex Reduced Rank Models for Seasonally Cointegrated Time Series

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  • Gianluca Cubadda

    (Universita' degli Studi del Molise)

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. Tables are provided for both asymptotic and finite sample critical values, and an empirical example is presented to illustrate the concepts and methods.

Suggested Citation

  • Gianluca Cubadda, 2000. "Complex Reduced Rank Models for Seasonally Cointegrated Time Series," Econometric Society World Congress 2000 Contributed Papers 0092, Econometric Society.
    • Handle: RePEc:ecm:wc2000:0092
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    1. Hylleberg, Svend & Jorgensen, Clara & Sorensen, Nils Karl, 1993. "Seasonality in Macroeconomic Time Series," Empirical Economics, Springer, vol. 18(2), pages 321-335.
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    5. Gianluca Cubadda, 1999. "Common cycles in seasonal non‐stationary time series," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 14(3), pages 273-291, May.
    6. Gianluca Cubadda, 1995. "A Note On Testing For Seasonal Cointegration Using Principal Components In The Frequency Domain," Journal of Time Series Analysis, Wiley Blackwell, vol. 16(5), pages 499-508, September.
    7. Hylleberg, S. & Engle, R. F. & Granger, C. W. J. & Yoo, B. S., 1990. "Seasonal integration and cointegration," Journal of Econometrics, Elsevier, vol. 44(1-2), pages 215-238.
    8. Osborn, Denise R., 1993. "Seasonal cointegration," Journal of Econometrics, Elsevier, vol. 55(1-2), pages 299-303.
    9. Philip Hans Franses & Robert M. Kunst, 1999. "On the Role of Seasonal Intercepts in Seasonal Cointegration," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 61(3), pages 409-433, August.
    10. Ahn, Sung K. & Reinsel, Gregory C., 1994. "Estimation of partially nonstationary vector autoregressive models with seasonal behavior," Journal of Econometrics, Elsevier, vol. 62(2), pages 317-350, June.
    11. Lee, Hahn Shik, 1992. "Maximum likelihood inference on cointegration and seasonal cointegration," Journal of Econometrics, Elsevier, vol. 54(1-3), pages 1-47.
    12. Kunst, Robert M, 1993. "Seasonal Cointegration, Common Seasonals, and Forecasting Seasonal Series," Empirical Economics, Springer, vol. 18(4), pages 761-776.
    13. Lee, Hahn S. & Siklos, Pierre L., 1995. "A note on the critical values for the maximum likelihood (seasonal) cointegration tests," Economics Letters, Elsevier, vol. 49(2), pages 137-145, August.
    14. Ermini, Luigi & Chang, Dongkoo, 1996. "Testing the joint hypothesis of rationality and neutrality under seasonal cointegration: The case of Korea," Journal of Econometrics, Elsevier, vol. 74(2), pages 363-386, October.
    15. Wells, John M., 1997. "Business Cycles, Seasonal Cycles, and Common Trends," Journal of Macroeconomics, Elsevier, vol. 19(3), pages 443-469, July.
    16. Chatterjee, Satyajit & Ravikumar, B., 1992. "A neoclassical model of seasonal fluctuations," Journal of Monetary Economics, Elsevier, vol. 29(1), pages 59-86, February.
    17. repec:bla:obuest:v:61:y:1999:i:3:p:409-33 is not listed on IDEAS
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    Cited by:

    1. Cubadda, Gianluca & Omtzigt, Pieter, 2005. "Small-sample improvements in the statistical analysis of seasonally cointegrated systems," Computational Statistics & Data Analysis, Elsevier, vol. 49(2), pages 333-348, April.
    2. Svend Hylleberg, 2006. "Seasonal Adjustment," Economics Working Papers 2006-04, Department of Economics and Business Economics, Aarhus University.
    3. Seong, Byeongchan, 2009. "Bonferroni correction for seasonal cointegrating ranks," Economics Letters, Elsevier, vol. 103(1), pages 42-44, April.
    4. Philip Kostov & John Lingard, 2005. "Seasonally specific model analysis of UK cereals prices," Econometrics 0507014, University Library of Munich, Germany.
    5. Tomás del Barrio Castro & Gianluca Cubadda & Denise R. Osborn, 2022. "On cointegration for processes integrated at different frequencies," Journal of Time Series Analysis, Wiley Blackwell, vol. 43(3), pages 412-435, May.
    6. Darne, Olivier, 2004. "Seasonal cointegration for monthly data," Economics Letters, Elsevier, vol. 82(3), pages 349-356, March.
    7. Fabio Busetti, 2006. "Tests of seasonal integration and cointegration in multivariate unobserved component models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(4), pages 419-438, May.
    8. Nyblom, Jukka & Suomala, Jaakko, 2014. "Tests for real and complex unit roots in vector autoregressive models," Journal of Multivariate Analysis, Elsevier, vol. 130(C), pages 224-239.
    9. Seong, Byeongchan, 2013. "Semiparametric selection of seasonal cointegrating ranks using information criteria," Economics Letters, Elsevier, vol. 120(3), pages 592-595.
    10. Marco Centoni & Gianluca Cubadda, 2011. "Modelling comovements of economic time series: a selective survey," Statistica, Department of Statistics, University of Bologna, vol. 71(2), pages 267-294.
    11. Bertrand Candelon & Gianluca Cubadda, 2006. "Testing for Parameter Stability in Dynamic Models across Frequencies," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 68(s1), pages 741-760, December.
    12. Ozlem Tasseven, 2009. "Seasonal Co-integration An Extension of the Johansen and Schaumburg Approach with an Exclusion Test," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 56(1), pages 39-53, March.
    13. Domenico Depalo, 2009. "A seasonal unit-root test with Stata," Stata Journal, StataCorp LP, vol. 9(3), pages 422-438, September.
    14. Gil-Alana, L.A., 2008. "Testing of seasonal integration and cointegration with fractionally integrated techniques: An application to the Danish labour demand," Economic Modelling, Elsevier, vol. 25(2), pages 326-339, March.
    15. Sung K. Ahn & Sinsup Cho & B. Chan Seong, 2004. "Inference of Seasonal Cointegration: Gaussian Reduced Rank Estimation and Tests for Various Types of Cointegration," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 66(2), pages 261-284, May.

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