文章基本信息
- 标题：Maximum likelihood seasonal cointegration tests for daily data
- 本地全文：下载
- 作者：Olivier Darné
- 期刊名称：Economics Bulletin
- 电子版ISSN：1545-2921
- 出版年度：2003
- 卷号：3
- 出版社：Economics Bulletin
- 摘要：In this paper we propose an extension of the maximum likelihood seasonal cointegration procedure developed by Lee (1992) for daily time series. We compute the finite sample critical values of the associated test statistics in daily seasonal time series.
- 关键词：daily data
