On trends and constants in periodic autoregressions

DOI10.1080/07474939908800446zbMath1063.62575OpenAlexW2155582526MaRDI QIDQ4701044

Richard Paap, Philip Hans Franses

Publication date: 1999

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

Full work available at URL: https://doi.org/10.1080/07474939908800446

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of mathematical programming (90C90)

Related Items (2)

TESTING FOR PERIODIC STATIONARITY ⋮ COINTEGRATION FOR PERIODICALLY INTEGRATED PROCESSES

Uses Software

• partsm

Cites Work

• Multiple unit roots in periodic autoregression
• The implications of periodically varying coefficients for seasonal time- series processes
• 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
• Unnamed Item

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