A simple GLS procedure for seasonal cointegration

초록

I introduce a simple generalized least squares procedure for seasonal cointegration that enables us to estimate the seasonal vector error correction model with its standard errors and to determine seasonal cointegrating ranks. The procedure can be easily implemented in comparison with the maximum likelihood method because all the computations are based on closed form expressions. I conduct Monte Carlo experiments to evaluate the proposed procedure and present an empirical example to illustrate the procedure. (C) 2015 The Korean Statistical Society. Published by Elsevier B.V. All rights reserved.

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