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Activity Number:
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245
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Type:
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Contributed
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Date/Time:
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Tuesday, August 8, 2006 : 8:30 AM to 10:20 AM
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Sponsor:
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Business and Economics Statistics Section
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| Abstract - #307438 |
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Title:
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Misspecification of Cointegrating Ranks in Seasonal Models
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Author(s):
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Byeongchan Seong*+ and Sinsup Cho and Sung K. Ahn and S. Y. Hwang
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Companies:
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Pohang University of Science and Technology and Seoul National University and Washington State University and Sookmyung Women's University
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Address:
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Department of Mathematics, San 31 Hyojadong, Pohang Gyeongbuk, 790-784, South Korea
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Keywords:
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Gaussian reduced rank estimation ; seasonal cointegration
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Abstract:
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We investigate the effects of mis-specification of cointegrating (CI) ranks at other frequencies on inference of seasonal cointegration at the frequency of interest such as testing of CI rank and estimation of CI vector. Earlier studies focused mostly on a single frequency corresponding to a seasonal root at a time, ignoring possible cointegration at the remaining frequencies. We investigate the effects of the mis-specification, especially with finite samples adopting Gaussian reduced rank estimation by Ahn and Reinsel (1994) that considered cointegration at all frequencies of seasonal unit roots simultaneously. It is observed that the identification of the seasonal CI rank at the frequency of interest is sensitive to the mis-prespecification of the CI ranks at other frequencies even for larger samples, especially, when the CI rank at frequency 0 is under-specified.
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