partsm
From MaRDI portal
Partsm
Description
Basic functions to fit and predict periodic autoregressive time series models. These models are discussed in the book P.H. Franses (1996) "Periodicity and Stochastic Trends in Economic Time Series", Oxford University Press. Data set analyzed in that book is also provided. NOTE: the package was orphaned during several years. It is now only maintained, but no major enhancements are expected, and the maintainer cannot provide any support.
Cited in
(44)- Loss development forecasting models: an econometrician's view
- Impulse response functions for periodic integration
- Testing for integration using evolving trend and seasonals models: A Bayesian approach.
- A new method to detect periodically correlated structure
- Forecasting seasonal time series data: a Bayesian model averaging approach
- Functional data analysis of the dynamics of the monthly index of nondurable goods production.
- Maximum of entropy and extension of covariance matrices for periodically correlated and multivariate processes.
- A new method to compare the spectral densities of two independent periodically correlated time series
- Non-parametric seasonal unit root tests under periodic non-stationary volatility
- meboot
- On the asymptotic distribution of the periodograms for the discrete time harmonizable simple processes
- Periodic autoregressive models with closed skew-normal innovations
- A comparison between the linear regression model with autocorrelated errors and the partial adjustment model
- Periodic and seasonal (co-)integration in the state space framework
- Characterization of periodically correlated and multivariate stationary discrete time wide Markov processes
- On stationarity and \(\beta \)-mixing of periodic bilinear processes
- Forward moving average representations for MA processes of finite order: multivariate stationary and periodically correlated
- Anticipating random periodic solutions. I: SDEs with multiplicative linear noise.
- Non-parametric testing for seasonally and periodically integrated processes
- The consequences of seasonal adjustment for periodic autoregressive processes
- MIDAS Regressions
- Efficient Semiparametric Estimation of the Periods in a Superposition of Periodic Functions with Unknown Shape
- Predictive Density Order Selection of Periodic AR Models
- TESTING FOR SEASONAL UNIT ROOTS IN PERIODIC INTEGRATED AUTOREGRESSIVE PROCESSES
- Testing nested and non-nested periodically integrated autoregressive models
- The effects of institutional and technological change and business cycle fluctuations on seasonal patterns in quarterly industrial production series
- TESTING FOR PERIODIC STATIONARITY
- Periodically correlated autoregressive Hilbertian processes
- THE BEHAVIOR OF HEGY TESTS FOR QUARTERLY TIME SERIES WITH SEASONAL MEAN SHIFTS
- On trends and constants in periodic autoregressions
- Performance of seasonal unit root tests for monthly data
- On periodic autoregressive stochastic volatility models: structure and estimation
- Testing the difference between spectral densities of two independent periodically correlated (cyclostationary) time series models
- A computational method to compare spectral densities of independent periodically correlated time series
- PAR(1) model analysis: a web-based shiny application for analysing periodic autoregressive models
- Bootstrapping periodic state-space models
- An optimization technique based on a vector autoregression model with state space representation: application to Ukrainian cargo transport data
- On regression-based tests for seasonal unit roots in the presence of periodic heteroscedasticity
- Recursive and rolling regression-based tests of the seasonal unit root hypothesis
- Macroeconomics and the reality of mixed frequency data
- Functional coefficient seasonal time series models with an application of Hawaii tourism data
- Generation Of Time Series Models With Given Spectral Properties
- Multi-companion matrices
- Seasonal nonlinear long memory model for the US inflation rates
This page was built for software: partsm
