Detecting seasonal unit roots in a structural time series model

DOI10.1080/0266476032000035412zbMath1121.62409OpenAlexW1999970567MaRDI QIDQ5901231

Yoshinori Kawasaki, Philip Hans Franses

Publication date: 11 September 2007

Published in: Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/0266476032000035412

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• Seasonal integration and cointegration
• A NONSTATIONARY TIME SERIES MODEL AND ITS FITTING BY A RECURSIVE FILTER
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