UNIT ROOTS IN PERIODIC AUTOREGRESSIONS

DOI10.1111/j.1467-9892.1996.tb00274.xzbMath0854.62082OpenAlexW2158124008MaRDI QIDQ4892824

Philip Hans Franses, H. Peter Boswijk

Publication date: 1 September 1996

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: http://repub.eur.nl/pub/2062

zbMATH Keywords

seasonalityparametrizationlikelihood ratio testsasymptotic null distributionsperiodic autoregressive modelsperiodic integrationunit root inferenceunivariate quarterly time series

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03)

Related Items (21)

Asymmetry and nonstationarity for a seasonal time series model ⋮ ON AUGMENTED HEGY TESTS FOR SEASONAL UNIT ROOTS ⋮ Multiple unit roots in periodic autoregression ⋮ Periodic integration: Further results on model selection and forecasting ⋮ Non-parametric testing for seasonally and periodically integrated processes ⋮ Temporal aggregation in a periodically integrated autoregressive process ⋮ Impulse response functions for periodic integration ⋮ Forecasting seasonal time series data: a Bayesian model averaging approach ⋮ Testing for periodic integration ⋮ On the performance of the DHF tests against nonstationary alternatives ⋮ On regression-based tests for seasonal unit roots in the presence of periodic heteroscedasticity ⋮ On trends and constants in periodic autoregressions ⋮ ASYMPTOTIC DISTRIBUTIONS OF SEASONAL UNIT ROOT TESTS: A UNIFYING APPROACH ⋮ TESTING FOR PERIODIC STATIONARITY ⋮ TESTING FOR SEASONAL UNIT ROOTS IN PERIODIC INTEGRATED AUTOREGRESSIVE PROCESSES ⋮ REGRESSION-BASED SEASONAL UNIT ROOT TESTS ⋮ Representations of \(I(2)\) cointegrated systems using the Smith-McMillan form ⋮ Gaussian tests for seasonal unit roots based on Cauchy estimation and recursive mean adjustments ⋮ Testing nested and non-nested periodically integrated autoregressive models ⋮ Explosive strong periodic autoregression with multiplicity one ⋮ Periodic autoregressive conditional duration

Cites Work

• Unnamed Item
• Seasonal integration and cointegration
• Testing for periodic integration
• Statistical analysis of cointegration vectors
• A multivariate approach to modeling univariate seasonal time series
• The implications of periodically varying coefficients for seasonal time- series processes
• Multiple Time Series Regression with Integrated Processes
• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
• Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag
• Testing for Unit Roots in Seasonal Time Series
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models

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