Impulse response functions for periodic integration

DOI10.1016/S0165-1765(97)00047-5zbMath0895.90055OpenAlexW2025091196MaRDI QIDQ1389739

Jörg Breitung, Philip Hans Franses

Publication date: 30 June 1998

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

Full work available at URL: https://doi.org/10.1016/s0165-1765(97)00047-5

zbMATH Keywords

impulse response functionperiodic integration

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic time series analysis (91B84)

Uses Software

• partsm

Cites Work

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• On periodic and multiple autoregressions
• The implications of periodically varying coefficients for seasonal time- series processes
• Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
• The role of the constant and linear terms in cointegration analysis of nonstationary variables
• UNIT ROOTS IN PERIODIC AUTOREGRESSIONS
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models

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