Moving average filters and unit roots

DOI10.1016/0165-1765(91)90077-XzbMath0850.62877OpenAlexW2108691014MaRDI QIDQ1189353

Philip Hans Franses

Publication date: 26 September 1992

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0165-1765(91)90077-x

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (4)

Testing for unit roots in seasonally adjusted data ⋮ Systematic sampling, temporal aggregation, seasonal adjustment, and cointegration. Theory and evidence ⋮ A note on the application of the DF test to seasonal data ⋮ Testing Monthly Seasonal Unit Roots With Monthly and Quarterly Information

Cites Work

• Seasonal integration and cointegration
• Seasonal unit roots in aggregate U.S. data (with discussion)

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