UNIT ROOTS IN PERIODIC AUTOREGRESSIONS

DOI10.1111/j.1467-9892.1996.tb00274.xzbMath0854.62082MaRDI 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

seasonality; parametrization; likelihood ratio tests; asymptotic null distributions; periodic autoregressive models; periodic integration; unit root inference; univariate quarterly time series

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62F03: Parametric hypothesis testing

Related Items

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

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