Testing for periodic integration

DOI10.1016/0165-1765(94)00635-FzbMath0879.90056OpenAlexW2113644665MaRDI QIDQ672884

Philip Hans Franses, H. Peter Boswijk

Publication date: 28 February 1997

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

Full work available at URL: https://doi.org/10.1016/0165-1765(94)00635-f

zbMATH Keywords

Integrationperiodic autoregressive time-series modelPeriodic modelsSeasonal time series

Mathematics Subject Classification ID

Economic time series analysis (91B84)

Related Items

A vector of quarters representation for bivariate time series, UNIT ROOTS IN PERIODIC AUTOREGRESSIONS, The effects of seasonally adjusting a periodic autoregressive process, TESTING FOR PERIODIC STATIONARITY, Explosive strong periodic autoregression with multiplicity one, Periodic autoregressive conditional duration

Cites Work

• On periodic and multiple autoregressions
• A multivariate approach to modeling univariate seasonal time series
• The implications of periodically varying coefficients for seasonal time- series processes
• UNIT ROOTS IN PERIODIC AUTOREGRESSIONS
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