Impulse response functions for periodic integration

DOI10.1016/S0165-1765(97)00047-5MaRDI QIDQ1389739zbMATH OpenOpenAlexFDO

Authors Jörg Breitung, Philip Hans Franses

Publication date 30 June 1998

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0165-1765(97)00047-5

zbMATH Keywords

impulse response functionperiodic integration

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic time series analysis (91B84)

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Cites work

• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
• scientific article; zbMATH DE number 51202 (Why is no real title available?)
• scientific article; zbMATH DE number 976336 (Why is no real title available?)
• scientific article; zbMATH DE number 3336457 (Why is no real title available?)
• Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
• On periodic and multiple autoregressions
• 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

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