Temporal aggregation in a periodically integrated autoregressive process

DOI10.1016/0167-7152(95)00225-1zbMath0902.62106OpenAlexW2122499699MaRDI QIDQ1129424

H. Peter Boswijk, Philip Hans Franses

Publication date: 14 December 1998

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: http://repub.eur.nl/pub/2063

zbMATH Keywords

time seriescointegrationunit rootperiodically integrated autoregressive process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (1)

Temporal Aggregation of Seasonally Near‐Integrated Processes

Cites Work

• A multivariate approach to modeling univariate seasonal time series
• The implications of periodically varying coefficients for seasonal time- series processes
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• UNIT ROOTS IN PERIODIC AUTOREGRESSIONS
• Time series with periodic structure
• The Effect of Aggregation on Prediction in the Autoregressive Model
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models

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