Periodic and seasonal (co-)integration in the state space framework

DOI10.1016/j.econlet.2018.11.018zbMath1429.62373OpenAlexW2901894515WikidataQ128906721 ScholiaQ128906721MaRDI QIDQ2328546

Dietmar Bauer

Publication date: 10 October 2019

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

Full work available at URL: https://doi.org/10.1016/j.econlet.2018.11.018

zbMATH Keywords

cointegrationperiodic processesunit rootsseasonal integration

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)

Uses Software

• partsm

Cites Work

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• Seasonal integration and cointegration
• Efficient tests of the seasonal unit root hypothesis
• Small-sample improvements in the statistical analysis of seasonally cointegrated systems
• Forecasting daily time series using periodic unobserved components time series models
• Likelihood analysis of seasonal cointegration
• A multivariate approach to modeling univariate seasonal time series
• Alternative estimators and unit root tests for seasonal autoregressive processes
• Non-parametric testing for seasonally and periodically integrated processes
• ON AUGMENTED HEGY TESTS FOR SEASONAL UNIT ROOTS
• COINTEGRATION FOR PERIODICALLY INTEGRATED PROCESSES
• FULLY MODIFIED ESTIMATION OF SEASONALLY COINTEGRATED PROCESSES
• A STATE SPACE CANONICAL FORM FOR UNIT ROOT PROCESSES

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