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• W2106285583 abstract "This paper introduces a new representation for seasonally cointegrated variables, namely the complex error correction model, which allows statistical inference to be performed by reduced rank regression. The suggested estimators and tests statistics are asymptotically equivalent to their maximum likelihood counterparts. The small sample properties are evaluated by a Monte Carlo study and an empirical example is presented to illustrate the concepts and methods." @default.
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• W2106285583 date "2001-09-01" @default.
• W2106285583 modified "2023-09-27" @default.
• W2106285583 title "Complex Reduced Rank Models For Seasonally Cointegrated Time Series" @default.
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• W2106285583 doi "https://doi.org/10.1111/1468-0084.00231" @default.
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