Joint Test for Seasonal Cointegrating Ranks

초록

In this paper we consider a joint test for seasonal cointegrating(CI) ranks that enables us to simultaneously model ointegrated structures across seasonal unit roots in seasonal cointegration. A CI rank test for a single seasonal unit root is constructed and extended to a joint test for multiple seasonal unit roots. Their asymptotic distributions and selected critical values for the joint test are obtained. Through a small Monte Carlo simulation study, we evaluate performances of the tests.

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