Tests of seasonal integration and cointegration in multivariate unobserved component models-Reference-Cited by-同舟云学术

Tests of seasonal integration and cointegration in multivariate unobserved component models

Published:2006 Issue:4 Volume:21 Page:419-438
ISSN:0883-7252
Container-title:Journal of Applied Econometrics
language:en
Short-container-title:J. Appl. Econ.

Author:

Busetti Fabio

Publisher

Wiley

Subject

Economics and Econometrics,Social Sciences (miscellaneous)

Reference41 articles.

1. Estimation of partially nonstationary vector autoregressive models with seasonal behavior

2. Inference of Seasonal Cointegration: Gaussian Reduced Rank Estimation and Tests for Various Types of Cointegration*

3. Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation

4. Seasonal unit roots in aggregate U.S. data

5. 2003. Tests of seasonal integration and cointegration in multivariate unobserved component models. Banca d'Italia Discussion Papers, no. 476, downloadable from http://www.bancaditalia.it/ricerca/consultazioni/temidi.

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