A NOTE ON THE CRITICAL-VALUES FOR THE MAXIMUM-LIKELIHOOD (SEASONAL) COINTEGRATION TESTS

Authors
LEE HS SIKLOS PL
Citation
Hs. Lee et Pl. Siklos, A NOTE ON THE CRITICAL-VALUES FOR THE MAXIMUM-LIKELIHOOD (SEASONAL) COINTEGRATION TESTS, Economics letters, 49(2), 1995, pp. 137-145
Citations number
10
Categorie Soggetti
Economics
Journal title
Economics letters → ACNP
ISSN journal
01651765
Volume
49
Issue
2
Year of publication
1995
Pages
137 - 145
Database
ISI
SICI code
0165-1765(1995)49:2<137:ANOTCF>2.0.ZU;2-2
Abstract
In this paper the finite sample distributions of the Johansen procedur e for cointegration tests using seasonally unadjusted data are present ed and compared with the asymptotic distributions. In particular, we c onsider the data generating process which contains unit roots at the s easonal and zero frequencies, as well as a trend.