SEASONAL INTEGRATION FOR DAILY DATA

DOI10.1081/ETC-100103822zbMath1049.91119OpenAlexW2151016553MaRDI QIDQ4432537

Shigeyuki Hamori, Akira Tokihisa

Publication date: 27 October 2003

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1081/etc-100103822

zbMATH Keywords

asymptotic distributionseasonal unit rootsstock markets

Mathematics Subject Classification ID

Cites Work

• Seasonal integration and cointegration
• Limiting distributions of least squares estimates of unstable autoregressive processes
• Seasonal unit roots in aggregate U.S. data (with discussion)
• Testing for Unit Roots in Seasonal Time Series

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